External shocks, US monetary policy and macroeconomic fluctuations in emerging markets

• 成果类型: Article
• 署名作者: Mackowiak, Bartosz
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.06.021
• 发表日期: 2007
• 页码: 2512-2520
• 关键词: structural vector autoregression; monetary policy shocks; international spillover effects of monetary policy; external shocks; Emerging markets

摘要

Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that when the U.S. sneezes, emerging markets catch a cold. At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks. (c) 2007 Elsevier B.V. All rights reserved.