Global spillover effects of US uncertainty

• 成果类型: Article
• 署名作者: Bhattarai, Saroj; Chatterjee, Arpita; Park, Woong Yong
• 署名单位: University of Texas System; University of Texas Austin; University of New South Wales Sydney; Seoul National University (SNU); Seoul National University (SNU)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.05.008
• 发表日期: 2020
• 页码: 71-89
• 关键词: US Uncertainty; Panel VAR; Emerging market economies; Monetary policy response; Emerging market monetary policy minutes

摘要

Spillover effects of US uncertainty shocks are studied in a panel VAR of fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and decreases capital inflows into them. It decreases EME output and consumer prices while increasing net exports. Negative effects on output and asset prices are weaker, but effects on external balance stronger, for Latin American EMEs. We attribute such heterogeneity to differential EME monetary policy response to US uncertainty shocks. Analysis of central bank minutes shows Latin American EMEs pay less attention to smoothing capital flows. (c) 2019 Elsevier B.V. All rights reserved.