Global Spillover Effects of US Uncertainty
Saroj Bhattarai (),
Arpita Chatterjee () and
Woong Yong Park ()
No 331, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
We study spillover effects of US uncertainty fluctuations using panel data from fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and leads to capital outflows from them. Moreover, it decreases EME output, while increasing their consumer prices and net exports. The negative effects on output, exchange rates, and stock prices are weaker, but the effects on capital and trade flows stronger, for South American countries compared to other EMEs. We present a model of a small open economy that faces an external shock to interpret our findings.
JEL-codes: C33 E44 E52 E58 F32 F41 (search for similar items in EconPapers)
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Working Paper: Global Spillover Effects of US Uncertainty (2019)
Working Paper: Global Spillover Effects of US Uncertainty (2017)
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