The spillover effect of US monetary policy on the international financial market:Evidence from network analysis  

作　　者：Ying Hou Wei Li Dexiang Wu Ying Zang Long Quach 

机构地区：[1]School of Economics and Management,University of Chinese Academy of Sciences,Beijing,100190,China [2]School of Economics and Management,Beihang University,Beijing,100191,China [3]Lab for Low-carbon Intelligent Governance(LLIG),Beihang University,Beijing,100191,China [4]Postal Savings Bank of China Limited,Beijing,China [5]International Finance Corporation,Washington DC,USA

出　　处：《Journal of Management Science and Engineering》2025年第1期111-125,共15页管理科学学报(英文版)

基　　金：supported by the Ministry of Science and Technology of China under Grant 2020AAA0108402;by the Fundamental Research Funds for the Central Universities(KG16182801,KG16275701);grants from the National Social Science Foundation of China[No.2022-SKJJ-B-114];grants from the National Natural Science Foundation of China[No.72033001,72271014].

摘　　要：The dominant role of the US dollar as a global currency allows the Federal Reserve's monetary policy to significantly influence economic and financial dynamics in other countries through mechanisms such as exchange rates,interest rates,and capital flows.This paper examines how shifts in the Federal Reserve's policy can precipitate economic disruptions in peripheral nations,potentially heightening the risk of systemic financial crises.By utilizing the directed acyclic graph(DAG)technique and network topology analysis,we explore the dynamic evolution of systemic risk within global financial markets from a network perspective.Our findings reveal that the US financial market is a net exporter of risk spillovers,whereas China predominantly receives these volatility transmissions.Such systemic financial risks prove contagious across markets.In the wake of Federal Reserve adjustments,China's financial markets invariably experience impacts,compelling them to align with U.S.policy rate changes and thereby compromising China's monetary policy independence.

关 键 词：Directed acyclic graph Federal reserve Monetary policy Systemic financial risk Monetary policy spillover effects Financial markets 

分 类 号：F831[经济管理—金融学]