Global spillover effects of US uncertainty

By Saroj Bhattarai, Arpita Chatterjee, W. Park. Journal of Monetary Economics, 2017

246 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1614e7467b51db371b7caafe3f3f16237c55a0f3

Citations in the corpus

• Economic uncertainty and bank risk: Evidence from emerging economies (2020, unknown): “As implied by Banerjee (1992), Bikhchandani et al. (1998) and Avery and Zemsky (1998), banks’ decisions in this context would be characterized by herd behavior, that is, banks will be doing what others are doing rather than collecting their own private information.”