This post provides the online appendix for the paper titled "Monetary policy response or economic integration: what drives international monetary policy spillovers ?" by Peeters, B., Girard, A. and Gnabo, J.-Y. (2021). This paper implements a new statistical estimation procedure based on a time-varying spatial regression model to assess the magnitude and the changes over time of international monetary policy interest rate spillovers. The estimation also relies on the building of a time-varying spatial weighting matrix based on international trade flows and a new dataset of monthly monetary policy interest rates. This appendix contains additional information on the data and samples used, the statistical methods, and some additional discussions as well as some supplementary materials that corroborate the arguments developed in the core paper.
PDF FILE: ONLINE APPENDIX
Structure of the online appendix:
- C.1 Details on data and samples
- C.2 Complements on the spatial weighting matrix
- C.3 Time-varying common trend and variance in presence of
structural changes - C.4 Links spillovers/sensitiveness and singularity/influence
- C.5 Complements on the LKSR estimation procedure
- C.6 Complements on robustness analyses
- C.7 Complements on the estimations with two matrices
ADITIONAL USEFUL LINKS:
- post on the dataset on monetary policy interest rates used in the paper
- post on the R code used in the paper to perform time-varying spatial regression analyses