Big Players Out of Synch: Spillovers Implications of US and Euro Area Shocks

Carolina Osorio-Buitron and Esteban Vesperoni

No 2015/215, IMF Working Papers from International Monetary Fund

Abstract: 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: WP; money shock; economy; EA yield; money U.S.; Spillovers; Monetary Policy; Economic News; Emerging Economies; authorities in the United States; euro area to the U.S.; Exchange rates; Bond yields; Unconventional monetary policies; Yield curve; Global (search for similar items in EconPapers)
Pages: 35
Date: 2015-09-30
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Citations: View citations in EconPapers (8)

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