Data and code for: Global Spillovers from FED Hikes and a Strong Dollar: The Risk Channel

We study the international transmission of U.S. monetary policy (FED hikes) and astrong U.S. dollar. Both of these variables are endogenous and thus we follow the recentdevelopments in the literature to measure the exogenous components of each from theperspective of the rest of the world (ROW). We follow the high frequency identificationof Gertler and Karadi (2015) in order to capture the exogenous changes in the U.S.monetary policy around a short window of FOMC announcements by observing shorttermasset prices in a 45-minute window. We follow Obstfeld and Zhou (2022) andIMF ESR (2023) and use the dollar’s appreciation against G10 currency as a global“dollar shock”.