Global Impacts of US Monetary Policy Uncertainty Shocks

Povilas Lastauskas and Anh Nguyen

No 84, Bank of Lithuania Working Paper Series from Bank of Lithuania

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 timevarying 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.

Keywords: US Monetary Policy; Volatility Shocks; Uncertainty; Global Economy (search for similar items in EconPapers)
JEL-codes: C32 C54 E52 E58 F44 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2020-12-30
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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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 (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:lie:wpaper:84

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