The transmission of US shocks to Latin America

By Fabio Canova. 2005

111 citations recorded by the source corpus.

I study whether and how US shocks are transmitted to eight Latin American countries. US shocks are identified using sign restrictions and treated as exogenous with respect to Latin American economies. Posterior estimates for individual and average effects are constructed. US monetary shocks produce significant fluctuations in Latin America, but real demand and supply shocks do not. Floaters and currency boarders display similar output but different inflation and interest rate responses. The financial channel plays a crucial role in the transmission. US disturbances explain important portions of the variability of Latin American macrovariables, producing continental cyclical fluctuations and, in two episodes, destabilizing nominal exchange rate effects. Policy implications are discussed. Copyright © 2005 John Wiley & Sons, Ltd.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2d7852f65db7faab37516b4878b91199f7d268af

Citations in the corpus

• Global spillover effects of US uncertainty (2017, unknown): “This choice is motivated by the close connections and linkages between the US and South American countries, as well as the existence of previous work that focuses on these countries, such as Canova (2005).”
• Global Financial Transmission of Monetary Policy Shocks (2009, unknown): “This conclusion is shared by Canova (2005), who employs a similar methodology and furthermore finds that the strength of countries’ response to US monetary policy depends on exchange rate regimes, even though differences with the de jure classification appear relatively small.”
• External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets (2007, unknown): “2The approach to identifying U.S. monetary policy shocks in Canova (2005) is different from the approach in this paper.”
• Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (2008, unknown): “The main difference between this paper's approach and that of Canova (2005), who works with a similar model, in that he does not use a prior for his parameters, which play the same role as λ, nor does he analyze their posterior distribution.”
• Similarities and Convergence in G-7 Cycles (2007, unknown): “, 1995; Baxter, 1995; Canova and Marrinan, 1998) while more structured time series analyses have shown that a large portion of regional and country specific fluctuations are common (see e.g. Gregory et al., 1997; Del Negro, 2002; Lumsdaine and Prasad, 2003; Kose et al., 2003) and that a number of li”
• Panel Vector Autoregressive Models: A Survey (2013, unknown): “Alternatively, one may want to examine whether shocks generated outside of a country (or an area) dominate the variability of domestic variables (see Canova, 2005; Rebucci 2010).”