Patterns of unconventional monetary policy spillovers during a systemic crisis

We examine whether the COVID-19 pandemic-induced systemic shocks cause a change in the dynamics of monetary policy spillovers among developed economies. Results from our analysis under the time-varying parameter vector autoregressive model indicate that: (i) variations in monetary policy actions are explained by monetary policy spillovers; (ii) shocks from the COVID-19 pandemic rocketed monetary policy spillovers; (iii) the Euro area and the US chiefly propagate monetary policy shocks to their counterpart developed economies; and (iv) New Zealand and Japan endure the highest monetary policy shocks. Our results evidence the need for synchronized monetary policy actions during systemic crises.