Federal Funds Rate Spillover to ECB Interest Rate: Are Macroeconomic Fundamentals Important?

This paper examines the spillover effects of monetary policy from federal funds rate (FFR) to European Central Bank (ECB) interest rate. The study implements a regression model examine pass-through effect between two rates. Using quarterly data for period 1999:1-2019:1 estimated results indicate statistically significant relationship Federal Funds Rate and Granger causality tests suggest that runs FFR ECB responsiveness depends on US macroeconomic fundamentals rather than fundamentals. More importantly, this stance in economy. A contractionary economy is accompanied with higher Additionally, inflation economy, would be.