Global spillover effects of US uncertainty

Saroj Bhattarai, Arpita Chatterjee and Woong Yong Park

Journal of Monetary Economics, 2020, vol. 114, issue C, 71-89

Abstract: 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.

Keywords: US Uncertainty; Panel VAR; Emerging market economies; Monetary policy response; Emerging market monetary policy minutes (search for similar items in EconPapers)
JEL-codes: C11 C33 E44 E52 E58 F32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (83)

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Related works:
Working Paper: Global Spillover Effects of US Uncertainty (2019)
Working Paper: Global Spillover Effects of US Uncertainty (2019)
Working Paper: Global Spillover Effects of US Uncertainty (2017)
Working Paper: Global Spillover Effects of US Uncertainty (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:114:y:2020:i:c:p:71-89

DOI: 10.1016/j.jmoneco.2019.05.008

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