Global Spillover Effects of US Uncertainty

Saroj Bhattarai, Arpita Chatterjee () and Woong Yong Park
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Arpita Chatterjee: UNSW Business School, UNSW

No 2017-17, Discussion Papers from School of Economics, The University of New South Wales

Abstract: 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.

Keywords: US Uncertainty; Emerging Market Economies; Small Open Economy Model; Capital Flows; Country Spread (search for similar items in EconPapers)
JEL-codes: C33 E44 E52 E58 F32 F41 (search for similar items in EconPapers)
Pages: 67 pages
Date: 2017-11
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-opm
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Global spillover effects of US uncertainty (2020)
Working Paper: Global Spillover Effects of US Uncertainty (2019)
Working Paper: Global Spillover Effects of US Uncertainty (2019)
Working Paper: Global Spillover Effects of US Uncertainty (2017)
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