Global impacts of US monetary policy uncertainty shocks

Arbeitspapier

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 time-varying volatility in the global setting, we find that US interest rate uncertainty not only drives local output and in ation volatility, but also causes declines in output, in ation, 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.

Object Details

• ISBN: 978-92-899-4513-4
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 2513

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Quantitative Policy Modeling ; Monetary Policy ; Central Banks and Their Policies ; International Business Cycles
• Subject: US Monetary Policy ; Volatility Shocks ; Uncertainty ; Global Economy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lastauskas, Povilas ; Nguyen, Anh D. M.
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2021

Further information

• DOI: doi:10.2866/859262
• Handle: http://hdl.handle.net/10419/229127
• Last update: 10.03.2025, 11:42 AM CET