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

Bartosz Maćkowiak

No 2006-026, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect quickly and strongly interest rates and the exchange rate in a typical emerging market. 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.

Keywords: Structural vector autoregression; monetary policy shocks; international spillover effects of monetary policy; external shocks; emerging markets (search for similar items in EconPapers)
JEL-codes: E3 F41 O11 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/25109/1/51247558X.PDF (application/pdf)

Related works:
Journal Article: External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2006-026

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().