The macroeconomic response to real and financial factors, commodity prices, and monetary policy: International evidence

Abstract

This study estimates a variety of small dynamic factor macro models where the factors are time-varying. The sample consists of 20 economies from around the world. Using quarterly data since the late 1990s, I find that the focus of some policymakers on the negative spillovers from monetary shocks is exaggerated. Four separate types of shocks are identified, and these can easily offset each other with a neutral to positive overall economic impact in some economies investigated here. However, a few economies, namely Brazil, Chile and China, experience a net economic loss from spillovers.