Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229127
Authors: 
Lastauskas, Povilas
Nguyen, Anh D. M.
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2513
Abstract: 
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.
Subjects: 
US Monetary Policy
Volatility Shocks
Uncertainty
Global Economy
JEL: 
C32
C54
E52
E58
F44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4513-4
Document Type: 
Working Paper

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