Global impacts of US monetary policy uncertainty shocks

Povilas Lastauskas and Anh Nguyen

No 2513, Working Paper Series from European Central Bank

Abstract: We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. 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. JEL Classification: C32, C54, E52, E58, F44

Keywords: global economy; uncertainty; US monetary policy; volatility shocks (search for similar items in EconPapers)
Date: 2021-01
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Global impacts of US monetary policy uncertainty shocks (2023)
Working Paper: Global Impacts of US Monetary Policy Uncertainty Shocks (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20212513

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