Monetary news in the United States and business cycles in emerging economies

• 成果类型: Article
• 署名作者: Vicondoa, Alejandro
• 署名单位: Pontificia Universidad Catolica de Chile
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2018.12.002
• 发表日期: 2019
• 页码: 79-90
• 关键词: US. interest rate; International business cycles; news shocks; emerging economies

摘要

This paper identifies anticipated (news) and unanticipated (surprise) shocks to the U.S. Fed Funds rate using Fed Funds futures contracts, and assesses their propagation to emerging economies. Anticipated shocks are identified as the expected change in the Fed Funds rate orthogonal to expected U.S. business cycle conditions while unanticipated shocks are the one-step ahead forecast error. Anticipated shocks explain around half of the narrative series of U.S. monetary policy shocks. To identify the effects of both shocks, I estimate a Panel VAR using a sample of emerging economies. An anticipated 25 basis points contractionary U.S. interest rate shock induces a fall of 0.5% in GDP from its trend two quarters before the shock materializes. Both anticipated and unanticipated changes in the U.S. interest rate cause significant and quantitatively similar effects. The increase of the U.S. BAA corporate spread in response to both shocks significantly exacerbates the response of emerging economies. After accounting for anticipation, U.S. interest rate shocks explain 14% of business cycle fluctuations in emerging economies. (C) 2018 Elsevier B.V. All rights reserved.