Arbeitspapier

Global impacts of US monetary policy uncertainty shocks

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.

ISBN
978-92-899-4513-4
Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 2513

Klassifikation
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
Thema
US Monetary Policy
Volatility Shocks
Uncertainty
Global Economy

Ereignis
Geistige Schöpfung
(wer)
Lastauskas, Povilas
Nguyen, Anh D. M.
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2021

DOI
doi:10.2866/859262
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Lastauskas, Povilas
  • Nguyen, Anh D. M.
  • European Central Bank (ECB)

Entstanden

  • 2021

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