Global impacts of US monetary policy uncertainty shocks

• 成果类型: Article
• 署名作者: Lastauskas, Povilas; Nguyen, Anh Dinh Minh
• 署名单位: University of London; Queen Mary University London; Vilnius University; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2023.103830
• 发表日期: 2023
• 关键词: US monetary policy; Volatility shocks; uncertainty; Global economy

摘要

We build a new empirical model, which admits time-varying variances of local structural shocks, to estimate the global impact of an increase in the volatility of US monetary policy shocks. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global setting, we find that US interest rate uncertainty not only drives local output and inflation volatility, but also causes declines in output, inflation, and the interest rate. Moreover, we document strong global impacts, making the world move in a very synchronous way. Crucially, spillback effects are found to be significant even for the US economy.