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
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978-92-899-4513-4
- Sprache
-
Englisch
- Erschienen in
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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
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Geistige Schöpfung
- (wer)
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Lastauskas, Povilas
Nguyen, Anh D. M.
- Ereignis
-
Veröffentlichung
- (wer)
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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
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Objekttyp
- Arbeitspapier
Beteiligte
- Lastauskas, Povilas
- Nguyen, Anh D. M.
- European Central Bank (ECB)
Entstanden
- 2021