Big Players Out of Synch; Spillovers Implications of US and Euro Area Shocks
Carolina Osorio Buitron and
No 15/215, IMF Working Papers from International Monetary Fund
Given the prospects of asynchronous monetary conditions in the United States and the euro area, this paper analyzes spillovers among these two economies, as well as the implications of asynchronicity for spillovers to other advanced economies and emerging markets. Through a structural vector autoregression analysis, country-specific shocks to economic activity and monetary conditions since the early 1990s are identified, and are used to draw implications about spillovers. The empirical findings suggest that real and monetary conditions in the United States and the euro area have oftentimes been asynchronous. The results also point to significant spillovers among them, in particular since early 2014—with spillovers from the euro area to the United States being particularly large. Against the backdrop of asynchronous conditions in these two economies, spillovers from real and money shocks to emerging markets and non-systemic advanced economies could be dampened.
Keywords: Spillovers; United States; Euro Area; Monetary policy; External shocks; Exchange rates; Economic conditions; Developed countries; Emerging markets; Vector autoregression; Panel analysis; Economic News, Emerging Economies, economies, monetary conditions, money, advanced economies, Forecasting and Other Model Applications, Forecasting and Simulation, Financial Markets and the Macroeconomy, Monetary Policy (Targets, Instruments, and Effects), Studies of Particular Policy Episodes, International Policy Coordination and Transmission, Forecasting and Simulation, (search for similar items in EconPapers)
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