THE INTERNATIONAL TRANSMISSION OF VOLATILITY SHOCKS: AN EMPIRICAL ANALYSIS

• 成果类型: Article
• 署名作者: Mumtaz, Haroon; Theodoridis, Konstantinos
• 署名单位: University of London; Queen Mary University London; Bank of England
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12120
• 发表日期: 2015
• 页码: 512-533
• 关键词: small open-economy; monetary-policy; stochastic volatility; bayesian-analysis; US; uncertainty; MODEL

摘要

This paper proposes an empirical model which can be used to estimate the international transmission of volatility shocks. Using this model we estimate that a one standard deviation increase in the volatility of the shock to US real GDP leads to a decline in UK GDP of 1% relative to trend and a 0.7% increase in UK CPI relative to trend at the two-year horizon. Using a nonlinear open-economy DSGE model, we find that these empirical estimates are consistent with the response to a perturbation to the volatility of foreign supply type shocks, while an increase in the volatility of demand shocks has a negligible impact.