亞開行-全球沖擊與新興市場貨幣政策傳導（英）

GLOBALSHOCKSANDMONETARYPOLICY

TRANSMISSIONIN

EMERGINGMARKETS

NuobuRenzhiandJohnBeirne

NO.726

ADBECONOMICS

May2024

WORKINGPAPERSERIES

ASIANDEVELOPMENTBANK

ADBEconomicsWorkingPaperSeries

GlobalShocksandMonetaryPolicyTransmission

inEmergingMarkets

NuobuRenzhiandJohnBeirne

No.726|May2024

TheADBEconomicsWorkingPaperSeries

presentsresearchinprogresstoelicitcommentsandencouragedebateondevelopmentissuesinAsiaandthePacific.Theviewsexpressed

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itsBoardofGovernorsorthegovernmentstheyrepresent.

NuobuRenzhi(renzhinuobu@)isan

assistantprofessorattheSchoolofEconomics,

CapitalUniversityofEconomicsandBusiness.

JohnBeirne(jbeirne@)isaprincipaleconomist

attheEconomicResearchandDevelopmentImpact

Department,AsianDevelopmentBank.

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DOI:

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ABSTRACT

Thispaperempiricallyexaminestheimpactofglobalshocksonmonetarypolicytransmissionin24emergingmarketeconomies(EMEs),usingpanellocalprojectionsovertheperiod2000to2022.Theestimatedresultsshowthatadverseglobalshocks,namelyatighterUnitedStatesmonetarypolicystance,higherglobalfinancialmarketuncertainty,andglobalclimatechange,coulddampenthetransmissionofmonetarypolicyinEMEs.Specifically,theoverallresponsesofindustrialproductionandinflationtomonetarypolicyshocksaremoremutedcomparedtothecasewheretheimpactsofglobalfactorsareisolated.Wealsostudywhethereconomy-specificcharacteristicsacrossEMEsaffectthemonetarypolicytransmissionimpactsofglobalshocks.Theresultssuggestthatahigherleveloffinancialdevelopmentcanpartiallyoffsetthedampeningeffectsofglobalshocks,whileahigherdegreeofcapitalaccountopennessandtradeopenness

furtheramplifytheimpactofglobalshocks.

Keywords:globalshocks,monetarypolicytransmission,emergingmarketeconomies

JELcodes:E52,F4

1.Introduction

Thereisgrowingevidencethatemergingmarketeconomies(EMEs)havebecomemoresynchronizedwithglobalfactorsoverthelast2decades,astheyareincreasinglyintegratedintotheglobaleconomythroughrealandfinanciallinkages(e.g.,DeLeo,Gopinath,andKalemli-Ozcan2022,Miranda-AgrippinoandRey2022).Anaturalquestionthatarisesthenistowhat

extenthastheeffectivenessofmonetarypolicyinEMEsbeenaffectedbytheseglobalfactors?

Despitetheliteraturepayingagreatdealofattentiontotheinternationaltransmissionofexternalshocks,lessisdiscussedontheroleofglobalshocksinthemonetarypolicytransmissionofEMEs.Afewbutgrowingrecentstudiesexaminewhetheraneconomy’sexposuretotheglobalfinancialcycleallowsforeffectivemonetaryindependence(e.g.,Miranda-AgrippinoandRey2020),indicatingthatatighteningUnitedStates(US)monetarypolicyshockmayleadtoadverseeconomicoutcomesinothereconomies,whichchallengesthedegreeofmonetarypolicysovereigntyofopeneconomies.However,thereislessdirectempiricalevidenceonthisissue,particularlyfromtheperspectiveofEMEs.ThispaperaimstofillthisgapintheliteraturebyemployingpanellocalprojectionsasinJordà(2005)toestimateimpulseresponsesofkeymacroeconomicvariablestomonetarypolicyshocksin24EMEs,conditioningonasetofglobalfactors,includingtheUSmonetarypolicystance,globalfinancialmarketuncertainty,andglobal

climatechange.

Toovercomepotentialendogeneityconcerns,weestimateaseriesofidentifiedmonetarypolicyshocksforeachofthe24EMEs.Usingasetofstructuralvectorautoregressive(VAR)models,weorthogonalizeshort-terminterestratechangesagainstthecentralbank’sresponsestocurrentandpastmacroeconomicconditionsbyassumingaTaylor-typeruletoextracttheexogenouscomponent.Theestimatedresidualsthereforecanberegardedasexogenousmonetarypolicyshocks,andthebasisfortheimpulseresponsefunctionanalysis.Weestimatetheresponsesofkeymacroeconomicvariablestotheidentifiedmonetarypolicy

shocksandfindthatindustrialproductionandinflationratedecreaseafteramonetarypolicy

2

tightening.Thesetextbookresultssuggestthevalidityofourmonetarypolicyshock

identification.

ToinvestigatewhetheradverseglobalshockshaveadampeningeffectonthetransmissionofmonetarypolicyinEMEs,weestimateimpulseresponsestomonetarypolicyshocks,conditioningontheseglobalfactors.Theestimatedresultsshowthatadverseglobalshocks,namelyatighterUSmonetarypolicystance,higherglobalfinancialmarketuncertainty,andglobalclimatechange,coulddampenthetransmissionofmonetarypolicyinEMEs.Specifically,theoverallresponsesofindustrialproductionandinflationtothemonetarypolicy

shocksaremoremutedcomparedtothecasewheretheimpactsofglobalfactorsareisolated.

Theseresultsarerobusttoasetofsensitivitychecks,includingalternativemonetarypolicy

measures.

Wealsostudywhethereconomy-specificcharacteristicsacrossEMEscouldaffectmonetarypolicytransmissionagainsttheimpactofglobalshocks.Theresultssuggestthatahigherleveloffinancialdevelopmentcanpartiallyoffsetthedampeningeffectsofglobalshockswhileahigherdegreeofcapitalaccountopennessandtradeopennessmayfurtheramplifythe

impactofglobalshocks.

Overall,theestimatedimpulseresponsesofmonetarypolicyshockssuggestthatadverseglobalshocksimpairtheeffectivenessofmonetarypolicytransmissioninEMEsandthemagnitudeoftheseadverseimpactscanvaryacrossdifferenteconomy-specificcharacteristics.Therefore,policymakersneedtobeawarethatglobalshockscanmakemonetarypolicieslesseffectiveandneedtoensurethatglobalandexternalfactorsareadequatelytakenintoaccountinmonetarypolicydecisionmaking.Policymakerscouldalsostrengthenmacroprudentialregulationsaimedatbuttressingfinancialstability,whichwouldalsohelptomitigatetheimpactof

globalfinancialshocksoneconomicactivityinEMEs.

Thispapercontributestoseveralstrandsoftheliterature.First,itisrelatedtorecent

studiesontheeffectivenessofmonetarypolicytransmissionindevelopingandemergingmarket

3

economies.Severalstudieshavehighlightedtheroleoffinancialdevelopmentandmonetaryregimesintheeffectivenessofmonetarypolicytransmission(e.g.,Mishra,Montiel,andSpilimbergo2012;BulirandVlcek2021).Somestudieshighlighttheincreasingprominenceoftheexchangeratechannelinmonetarypolicytransmission(e.g.,Eklou2023;Brand?o-Marquesetal.2020;Gadanecz,Miyajima,andUrban2014).OtherstudiesarguethatthemonetarypolicytransmissioninEMEscouldbeimpairedthroughadisconnectbetweenpolicyratesandshort-

termmarketrates(e.g.,DeLeo,Gopinath,andKalemli-Ozcan2022).

Second,thispapercomplementsafewbutgrowingstudiesontheroleofglobalfactorsinmonetarypolicytransmission.Byinvestigatingtherelationshipbetweenglobalforcesandkeymacroeconomicvariablesoverthe1984–2005period,BoivinandGiannoni(2008)findnoevidenceofachangeintheUSmonetarypolicytransmissionduetoglobalforces.However,Haetal.(2020)findthatmovementsinglobalfactorsplayamajorroleinexplainingdomesticbusinesscyclesinG-7countries.DeLeo,Gopinath,andKalemli-Ozcan(2022)showthatglobalfinancialconditionscouldcauseadisconnectbetweenpolicyratesandshort-termmarketratesinemergingeconomies.Somestudiesshowthatthetransmissionofglobalshocksdependsonindividualeconomies’macroeconomicpoliciesandthedegreeofglobaltradeandfinancialintegration(e.g.,Br?uningandSheremirov2023,EhrmannandFratzscher2009).Eklou(2023)findsthatglobalmonetarypolicytighteningcouldcomplementdomesticeffortstoachievepricestabilitybyinducingglobaldisinflation.Ramos-FranciaandGarcia-Verdu(2014)findmixedevidenceontheroleofglobalfactorsthatthepossibilityofstructuralchangeinthepolicyrate,exchangerate,andlong-terminterestratechannelsgenerallydependsontheEMEinquestion.Gadanecz,Miyajima,andUrban(2014)arguethateasymonetaryconditionsinadvanced

economieshaveplayedanimportantroleindeterminingdomesticmonetaryconditionsinEMEs.

Theremainderofthispaperisstructuredasfollows.Section2describesthedataandoutlinestheempiricalmethodology.Section3presentstheempiricalresultswithrobustness

checksandextensions.Section5concludes.

4

2.DataandEmpiricalMethodology

Inthissection,wefirstdescribethedatasourceofvariablesweuseintheempiricalanalysis.Wethendiscusstheidentificationofthemonetarypolicyshocks.Finally,wepresentoureconometric

frameworkusedtoproducetheempiricalresults.

2.1Data

Weuseavailablemonthlydatawithanunbalancedpanelfor24EMEsspanningfrom2000:M1to2022:M12.1ToanalyzethemonetarypolicytransmissioninEMEs,weconsiderthefollowingvariablestoreflectastandardtheoreticalsetup.Wecollectdataontherealindustrialproductionindexasadomesticoutputmeasure,theyear-on-yearchangeoftheconsumerpriceindexasameasureoftheinflationrate,therealeffectiveexchangerateastheexchangeratemeasure,andthe3-monthinterbankrateastheshort-termratemeasure.2ThedataareallfromtheInternationalFinancialStatisticsoftheInternationalMonetaryFund(IMF)andtheBankfor

InternationalSettlements(BIS)database.

Forglobalfactorvariables,weusedatafromavarietyofsources.WeusetheshadowpolicyrateproposedbyWuandXia(2016)asameasureoftheUSmonetarypolicystance,whichreasonablyreflectsbothconventionalandunconventionalmonetarypolicyregimes.WeusetheVIXindexthatstandsfortheChicagoBoardOptionsExchange(CBOE)VolatilityIndex,asameasureofglobalfinancialmarketuncertainty.Tomeasureglobalclimatechange,weusetheyear-on-yeargrowthrateofmonthlyatmosphericcarbondioxideconcentrations,obtainedfrom

theNationalOceanicandAtmosphericAssociationGlobalMonitoringLaboratory.

1TheselectedEMEsincludeArgentina;Brazil;Chile;Colombia;CzechRepublic;Egypt;HongKong,China;Hungary;Indonesia;India;Israel;Mexico;Malaysia;thePeople’sRepublicofChina;Peru;thePhilippines;Poland;theRepublicofKorea;Romania;theRussianFederation;Singapore;Thailand;Türkiye;andSouthAfrica.Thedatastartingyearforaspecificvariablevariesacrosseconomiesduetothedataavailabilityandreliability.

2Asmostcentralbanksareaimingwiththeiropenmarketoperationstocloselyalignaspecificshort-terminterestratewiththeirmonetarypolicystance.

5

AsstructuraleconomycharacteristicsmaybeimportantfortheeffectivenessofmonetarypolicytransmissioninEMEs,wealsoincludethefollowingvariablesinourempiricalanalysis.First,tomeasuretheleveloffinancialdevelopment,weusetheFinancialDevelopmentIndexfromtheIMF,whichsummarizeshowdevelopedfinancialinstitutionsandfinancialmarketsareintermsoftheirdepth,access,andefficiency.Next,wecalculatetradeopennessasthesumofaneconomy’sexportsandimportsrelativetoitsgrossdomesticproduct(GDP),obtainedfromtheIMF’sWorldEconomicOutlook.Finally,weusetheChinn-Itoindexasameasureofaneconomy’sdegreeofcapitalaccountopenness(ChinnandIto2006).Table1presentsthesummarystatistics

ofthemainvariablesusedintheempiricalanalysis.

Table1:SummaryStatistics

Variable

Mean

SD

Min

Max

RealGDP(log)

4.6

0.3

2.0

5.6

Inflation(%)

1.2

1.5

-6.0

21.7

Realeffectiveexchangerate(log)

4.6

0.5

1.6

6.2

Short-terminterestrate(%)

6.1

6.7

-0.1

91.1

USshadowpolicyrate(%)

1.1

2.4

-3.0

6.6

VIX(log)

2.9

0.4

2.3

4.1

Globalclimatechange(%)

0.6

0.2

0.1

1.1

Financialdevelopment(index)

0.4

0.1

0.2

0.7

Tradeopenness(%)

96.2

89.4

27.3

361.8

Capitalaccountopenness(index)

0.01

1.0

-1.3

2.3

GDP=grossdomesticproduct,IMF=InternationalMonetaryFund,US=UnitedStates,VIX=ChicagoBoardOptionsExchangeVolatilityIndex.

Notes:Thetableshowssummarystatisticsforthemainvariablesusedintheempiricalanalysis.Globalclimatechangeismeasuredbytheyear-on-yeargrowthrateofmonthlyatmosphericcarbondioxideconcentrations,obtainedfromtheNationalOceanicandAtmosphericAssociationGlobalMonitoringLaborator.Tradeopennessismeasuredasthesumofaneconomy’sexportsandimportsrelativetoitsGDP,obtainedfromtheIMF’sWorldEconomicOutlook.CapitalaccountopennessismeasuredbytheChinn-Itoindex(ChinnandIto2006).

Source:Authors’calculations.

(2)

…

A=?a?,?

6

2.2IdentificationofMonetaryPolicyShocks

Asmostofthevariationinthecentralbank’spolicyratesusuallyreflectstheeconomicconditions,itisthereforenecessarytoorthogonalizeshort-termratechangesagainstthecurrentorpasteconomicperformances.Followingthestandardliterature,weassumeaTaylor-typeruletoidentifytheexogenouspartofmonetarypolicyvariations.Astandardapproachistoextracttheresidualsfromathree-variablestructuralVAR(SVAR),wheretheshort-terminterestrateisorderedlastafteroutputandinflationusingaCholeskydecomposition(Christiano,Eichenbaum,andEvans1999).Theestimatedresidualsserveasameasureofmonetarypolicyshocks.Moreover,tohighlighttheimportanceoftheexchangeratechannelofthemonetarypolicytransmissioninemergingeconomies,weincorporatetherealeffectiveexchangerateinouridentificationsetup.Specifically,a4-variableSVARframeworkisusedtoestimatethemonetary

policyshocksforagivenemergingeconomy,whichcanbedenotedasfollows:

Y?=A(L)Y???+μ?(1)

whereY?referstoavectorofourselectedendogenousvariables,includingthelogofrealGDP,inflationrate,thelogofrealeffectiveexchangerate,andtheshort-termrate;A(L)isamatrixofpolynomialsinthelagoperatorL;andμ?isavectorofdisturbances.TheSVARincludesfourlags,whichareselectedusingtheSchwarzinformationcriterion(SIC).Theidentificationstrategyisbasedonablockrecursiverestriction,whichresultsinthefollowingmatrixAtofitajust-identified

model:

0

a?,?

00?

???

…

?a?,?

?

?

??

?a,?a,?…a,?

Theorderingofthevariablesimposedintherecursiveformimpliesthatthevariablesat

thetopwillnotbeaffectedbythecontemporaneousshockstothelowervariableswhilethelower

7

variableswillbeaffectedbythecontemporaneousshockstotheuppervariables.WethenplacerealGDPatthetopintheordering,whichimpliesthatitwillonlybeaffectedbycontemporaneousshockstoitself.FollowingrealGDP,weplacetheinflationrate,whichimpliesthattheinflationwillbeaffectedbyrealGDPanditself,butnotbycontemporaneousshockstothepolicyrate.Finally,weplacetheexchangeratebeforetheshort-termrateintheordering,whichisbasedontheassumptionthatthecentralbank’smonetarypolicywillreflectwidereconomicconditions.Figure

1plotstheestimatedmonetarypolicyshockseries.

Figure1:MonetaryPolicyShockSeries

ARG=Argentina;BRA=Brazil;CHL=Chile;COL=Colombia;CZE=CzechRepublic;EGY=Egypt;HKG=HongKong,China;HUN=Hungary;IND=India;INO=Indonesia;ISR=Israel;KOR=RepublicofKorea;MAL=Malaysia;MEX=Mexico;PER=Peru;PHI=Philippines;POL=Poland;PRC=People’sRepublicofChina;ROM=Romania;RUS=RussianFederation;SIN=Singapore;THA=Thailand;TUR=Türkiye;ZAF=SouthAfrica.

Note:Thefigureplotsthemonetarypolicyshockseriesforthesampleofemergingmarketeconomies.Source:Authors’calculations.

8

2.3EconometricMethodology

FollowingtheframeworkproposedbyJordà(2005),weusethepanellocalprojection(LP)toestimatethemodelandcalculateimpulseresponsestoexogenousmonetarypolicyshocks.The

baselinemodelcanbegivenasfollows:

y,??=a,+λ?+δ,z,??+βs?ock,?+ε,??,?=0,1,2,?,(3)

?

wherei=1,?Nreferstothespecificeconomyinthesample,yisthevariableofinterest(e.g.,industrialproductionorinflation),s?ock?istheseriesofidentifiedmonetarypolicyshocks,zisavectorofcontrolvariablesincludinglaggedvaluesforyands?ock?aswellasothercontrolvariables,andδ,isavectorofcoefficientsassociatedwiththelagsofz.Specifically,wesetL=3,thereforeweincludethreemonthsoflaggedvaluesofz.Thecoefficientβgivestheresponseofyattimet+?totheshockattimet.Thus,oneconstructstheimpulseresponsesasasequenceoftheβestimatedinaseriesofseparateregressionsforeachhorizon?.adenoteseconomy-specificfixedeffects,controllingforthetime-invariantcharacteristicsoftheeconomy.λ?representsthetimefixedeffects.3Finally,ε,??denotesdisturbances.OneparticularcomplicationassociatedwiththeLPmethodistheserialcorrelationintheerrortermsinducedbythesuccessiveleadingofthedependentvariable.Thus,weusetheNewey-West

correctionforourstandarderrors(NeweyandWest1987).

WecanfurtheradapttheLPframeworktoallowfornonlinearitiesinthespecificationthatareassociatedwithglobalshocks.Wethereforemaketheresponseofoutputorinflationtoamonetarypolicyshockalsodependentonthecontemporaneouschangeinglobalfactorsby

interactingtheinterestrateshockwiththechangeinglobalfactors.Thespecificationisasfollows:

3Thetimefixedeffectsalsocontrolforstructuralbreaksduetothecoronavirusdisease(COVID-19)pandemic.

9

y,??=a,+λ?+δ,z,??+βs?ock,?+θGF?×s?ock,?+σGF?+ε,??,

?

?=0,1,2,?,(

4

)

whereGF?isavariablerepresentingourkeyglobalfactor,includingtheUSmonetarypolicystance(measuredastheUSshadowpolicyrate),globalfinancialmarketuncertainty(measuredastheVIXindex),andglobalclimatechange(measuredasthegrowthrateofmonthlyatmosphericcarbondioxideconcentrations).Therefore,βhmeasurestheresponseofoutputorinflationtothemonetarypolicyshockateachhorizon(month)hwhentheglobalshocksareisolated,andβh+σθhrepresentsthetotaleffectsofmonetarypolicyshockswhenweconsider

theimpactofglobalshocks.

Toinvestigatewhethereconomy-specificcharacteristicsmatterformonetarypolicytransmission,wedivideEMEsintogroupsaccordingtotheirlevelsoffinancialdevelopment,tradeopenness,andcapitalaccountopennessandestimateseparateimpulseresponsesforeachgroup.Regardingtheestimationoflocalprojections,weincorporateadummyvariableIthattakesavalueof1forEMEswherebytheirlevelofeconomy-specificcharacteristic(e.g.,financialdevelopment,tradeopenness,orcapitalaccountopenness)fallswithinacertainlevelm∈Mof

theireconomy-specificcharacteristicdistributions.FollowingCloyneetal.(2023),weextendthe

localprojectionasfollows:

y,??=a,+λ?+I[δz,??+βs?ock,?+θGF?×s?ock,?+σGF?]+ε,??,

∈??

?=0,1,2,?,(5)

wherethenotationisasinEq.(4).

10

3.EmpiricalResults

3.1MacroeconomicEffectsofMonetaryPolicyShocks

Beforeshowingtheestimationresultsfortheimpactsofglobalfactorsonthemonetarypolicytransmission,wefirstpresenttheresponsesofkeymacroeconomicvariables,namelyindustrialproductionandinflation,totheestimatedmonetarypolicyshocksbyassumingthatthespilloversofglobalfactorsareisolated.Thisisnotonlytoreassurethevalidityofouridentificationstrategybutalsotoprovideabenchmarkagainstwhichwecanevaluatetheimpactofdifferentglobalshocks.Figure2showstheestimatedimpulseresponsesbasedonthelinearmodelofEq.(3).Thesolidlineineachgraphrepresentstheestimatedimpulseresponsesinpercentagepointsoverthefollowing14monthstoacontractionarymonetarypolicyshock.Wenormalizedthescaleofthemonetarypolicyshocksuchthatitincreasestheshort-terminterestrateby100basispoints(bps).Thedottedlinesrepresent95%confidencebandsbasedonrobuststandarderrorsby

NeweyandWest(1987).

Figure2:ImpulseResponsesofMacroeconomicVariablestoaContractionaryMonetaryPolicyShock

Notes:Thefigureplotstheimpulseresponsesofindustrialproductionandinflationratetoa100-bpscontractionarymonetarypolicyshock.95%confidencebandsindashedlinesarereported.Theverticalaxisunitis1percentagepoint,andtheunitofthehorizontalaxisrefersto1month.

Source:Authors’calculations.

11

Theimpulseresponsesofmacroeconomicvariablesareconsistentwiththepredictionofstandardmacroeconomictheory,indicatingthesoundnessofourmonetarypolicyshockseries.Followingacontractionarymonetarypolicyshock,industrialproductiondecreasespersistentlywithamaximumimpactofaround3.5bps.Theinflationratealsoshowsadampeningandstatisticallysignificanteffectaftertheshock.A100-bpscontractionarymonetarypolicyshockisassociatedwitha1.7-bpsdeclineininflationatpeakafter5months.Ourresultsalsoempiricallysupportthefindingsofotherstudiesthatmanyemergingeconomieshavesucceededinimplementingcountercyclicalmonetarypolicy(Gadanecz,Miyajima,andUrban2014;Takats

2012).

3.2ImpulseResponsesConditioningonGlobalFactors

Inthispartoftheanalysis,weallowtheresponsesofindustrialproductionandinflationtomonetarypolicyshockstoconditiononglobalfactors,namelytheUSmonetarypolicystance,the

globalfinancialmarketuncertainty,andtheglobalclimatechange.

UnitedStatesmonetarypolicystance.Figure3showstheimpulseresponsesofindustrialproductionandinflationtocontractionarymonetarypolicyshocksdependingonthestanceofUSmonetarypolicy.Thedashedbluelineineachgraphrepresentstheestimatedimpulseresponsesinpercentagepointsoverthefollowing14monthstoacontractionarymonetarypolicyshockinteractedwithUSshadowpolicyrates.Bycomparingtothebaselineestimatesthatisolatetheimpactsofglobalfactors(redsolidline),theshocksduetotheUSshadowpolicyrateseemtomatteragreatdealforthemonetarypolicytransmissionofEMEs.Theresponseofindustrialproductionismutedandnotsignificantlydifferentfromzero.Theinflationratealsoexhibitslittleresponseafterthemonetarypolicyshocks,whichiscontrarytotheexpectedoutcomeofatighteningmonetarypolicy.ThiscanbeexplainedasasurpriseriseintheUSinterestratethatleadstoaweakerlocalcurrencyandaslowerUSaggregatedemand,resultinginamixedimpactonEMEs’domesticoutputandpushingupthedomesticinflationrate

(MagudandPienknagura2023).Moreover,astheUSmonetarypolicystancecanbeanindicator

12

ofglobalfinancialconditions,ahigherUSshadowpolicyratemayleadtoadecreaseintheEMEs’domesticcredits(Miranda-AgrippinoandRey2022).ThesepotentialchannelsrevealthatspilloversofUSmonetarypolicyshocksweakentheeffectivenessofEMEs’monetarypolicy

transmission.

Figure3:ImpulseResponsestoaContractionaryMonetaryPolicyShock:USShadowPolicyRates

US=UnitedStates.

Notes:Thefigureplotstheimpulseresponsesofindustrialproductionandinflationratetoa100-bpscontractionarymonetarypolicyshock,conditioningonUSshadowpolicyrates.95%confidencebandsindashedlinesarereported.Theverticalaxisunitis1percentagepoint,andtheunitofthehori