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Global Spillover Effects of Us Uncertainty

Bhattarai, Saroj - 2018

We study spillover effects of US uncertainty fluctuations using panel data from fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and leads to capital outflows from them. Moreover, it decreases EME...

Persistent link: https://www.econbiz.de/10012930052

The Deep Historical Roots of Macroeconomic Volatility

Tang, Sam Hak Kan - 2017

We present cross-country evidence that a country's macroeconomic volatility, measured either by the standard deviation of output growth or the occurrence of trend-growth breaks, is significantly affected by the country's historical variables. In particular, countries with longer histories of...

Persistent link: https://www.econbiz.de/10012969468

China's Slowdown and Global Financial Market Volatility : Is World Growth Losing Out?

Cashin, Paul Anthony - 2017

repercussions, with world growth reducing by 0:23 percentage points in the short-run; and (ii) a surge in global financial market … volatility could translate into a fall in world economic growth of around 0:29 percentage points, but it could also have negative …

Persistent link: https://www.econbiz.de/10012969747

The Post-Crisis Slump in the Euro Area and the Us : Evidence from an Estimated Three-Region DSGE Model

Kollmann, Robert - 2017

—in particular, the EA slump has been markedly more protracted. We estimate a three-region (EA, US and Rest of World) New Keynesian …

Persistent link: https://www.econbiz.de/10012969881

Long-Term Macroeconomic Effects of Climate Change : A Cross-Country Analysis

Kahn, Matthew E. - 2020

, reduces world real GDP per capita by 7.22 percent by 2100. On the other hand, abiding by the Paris Agreement, thereby limiting …

Persistent link: https://www.econbiz.de/10012847206

The Exchange Rate Effects of Macro News after the Global Financial Crisis

Cheung, Yin-Wong; Fatum, Rasmus; Yamamoto, Yohei - 2017

This paper explores whether the exchange rate effects of macro news are time- and state-dependent by analyzing and comparing the relative influence of US and Japanese macro news on the JPY/USD rate before, during, and after the Global Financial Crisis. A comprehensive set totaling 40...

Persistent link: https://www.econbiz.de/10014122546

Risk Sharing in a World Economy with Uncertainty Shocks

Kollmann, Robert - 2017

This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption …, trade flows and the real exchange rate, in a two-country world with recursive preferences and complete financial markets …. When the risk aversion coefficient exceeds the inverse of the intertemporal substitution elasticity, then an exogenous rise …

Persistent link: https://www.econbiz.de/10012970180

Oil Price Shocks and Policy Uncertainty : New Evidence on the Effects of Us and Non-Us Oil Production

Kang, Wensheng - 2017

Important interaction has been established for US economic policy uncertainty with a number of economic and financial variables including oil prices. This paper examines the dynamic effects of US and non-US oil production shocks on economic policy uncertainty using a structural VAR model. Such...

Persistent link: https://www.econbiz.de/10012964562

Effects of Us Quantitative Easing on Emerging Market Economies

Bhattarai, Saroj - 2017

We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies. Using a Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock with non-recursive identifying restrictions. We estimate strong and robust macroeconomic...

Persistent link: https://www.econbiz.de/10012970183

Fair Weather or Foul? The Macroeconomic Effects of El Niño

Cashin, Paul Anthony - 2017

This paper employs a dynamic multi-country framework to analyze the international macroeconomic transmission of El Niño weather shocks. This framework comprises 21 country/region-specific models, estimated over the period 1979Q2 to 2013Q1, and accounts for not only direct exposures of countries...

Persistent link: https://www.econbiz.de/10012971224