{"paper":{"title":"High-frequency and heteroskedasticity identification in multicountry models: Revisiting spillovers of monetary shocks","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["econ.GN","q-fin.EC"],"primary_cat":"econ.EM","authors_text":"Anna Stelzer, Michael Pfarrhofer","submitted_at":"2019-12-06T14:43:07Z","abstract_excerpt":"We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables across several major economies to address both static and dynamic spillovers. To identify structural shocks, we introduce a novel approach that combines external instruments with heteroskedasticity-based identification and sign restrictions. Our results suggest significant spillovers from European Central Bank and Federal Reserve policies to each other's econom"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1912.03158","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/1912.03158/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}