Journal
JOURNAL OF MONETARY ECONOMICS
Volume 114, Issue -, Pages 71-89Publisher
ELSEVIER
DOI: 10.1016/j.jmoneco.2019.05.008
Keywords
US Uncertainty; Panel VAR; Emerging market economies; Monetary policy response; Emerging market monetary policy minutes
Categories
Funding
- Housing and Commercial Bank Economic Research Fund for Institute of Economic Research
- Creative-Pioneering Researchers Program through Seoul National University
Ask authors/readers for more resources
Spillover effects of US uncertainty shocks are studied in a panel VAR of fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and decreases capital inflows into them. It decreases EME output and consumer prices while increasing net exports. Negative effects on output and asset prices are weaker, but effects on external balance stronger, for Latin American EMEs. We attribute such heterogeneity to differential EME monetary policy response to US uncertainty shocks. Analysis of central bank minutes shows Latin American EMEs pay less attention to smoothing capital flows. (c) 2019 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available