Global impacts of US monetary policy uncertainty shocks

被引:10
|
作者
Lastauskas, Povilas [1 ,2 ]
Nguyen, Anh Dinh Minh [3 ]
机构
[1] Queen Mary Univ London, Mile End Campus, London, England
[2] Vilnius Univ, Fac Econ & Business Adm, Vilnius, Lithuania
[3] Int Monetary Fund, Washington, DC 20431 USA
关键词
US monetary policy; Volatility shocks; Uncertainty; Global economy; INTERNATIONAL TRANSMISSION; VECTOR AUTOREGRESSIONS; BUSINESS CYCLES; RISK; VOLATILITY; MODELS; TRADE; COLLAPSE; PANELS;
D O I
10.1016/j.jinteco.2023.103830
中图分类号
F [经济];
学科分类号
02 ;
摘要
We build a new empirical model, which admits time-varying variances of local structural shocks, to estimate the global impact of an increase in the volatility of US monetary policy shocks. By allowing for rich dynamic interaction between the endogenous variables and time-varying 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.
引用
收藏
页数:23
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