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US Monetary Policy Uncertainty Spillover and the Role of Exchange Rate Regime

Yun, Yeonggyu; Kim, Soyoung; Jung, Yongseung - 2022

We study spillover of monetary policy uncertainty shock from the US to other economies with different exchange rate regimes. A surge of monetary policy uncertainty in the US incurs contractionary consequences in other economies and decreases output, consumption, and stock market prices. Such...

Persistent link: https://www.econbiz.de/10014079948

US Monetary Policy Spillovers and Spillbacks

Thomas, Lina - 2023

I study spillovers of US monetary policy to the rest of the world, as well as spillbacks to the US economy in an empirical multi-country model over time. Within the multilateral framework, I distinguish the bilateral effect from the network effects that arise from interactions among recipient...

Persistent link: https://www.econbiz.de/10014256990

Policy, Risk and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2017

economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis. This panel dynamic …

Persistent link: https://www.econbiz.de/10012956470

The global financial cycle and macroeconomic tail risks

Beutel, Johannes; Emter, Lorenz; Metiu, Norbert; … - 2022

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

Persistent link: https://www.econbiz.de/10013459721

Uncertainty about Federal Reserve policy and Its transmission to emerging economies : evidence from Twitter

Tillmann, Peter - 2016

It is well known that a tightening or easing of the United States' monetary policy affects financial markets in emerging economies. This paper argues that uncertainty about future monetary policy is a separate transmission channel. We focus on the taper tantrum episode in 2013, a period with an...

Persistent link: https://www.econbiz.de/10011546623

Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …

Persistent link: https://www.econbiz.de/10014483035

Spillovers of US market volatility and monetary policy uncertainty to global stock markets

Chiang, Thomas C. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013187644

The international spillover effects of US monetary policy uncertainty

Lakdawala, Aeimit; Moreland, Timothy; Schaffer, Matthew - In: Journal of international economics 133 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013546156

Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...

Persistent link: https://www.econbiz.de/10013040410

The Long-Run Effects of Monetary Policy

Jordà, Òscar - 2020

Is the effect of monetary policy on the productive capacity of the economy long lived? Yes, in fact we find such impacts are significant and last for over a decade based on: (1) merged data from two new international historical databases; (2) identification of exogenous monetary policy using the...

Persistent link: https://www.econbiz.de/10012842574