Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25109
Authors: 
Maćkowiak, Bartosz
Year of Publication: 
2006
Series/Report no.: 
SFB 649 discussion paper 2006,026
Abstract: 
Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect quickly and strongly interest rates and the exchange rate in a typical emerging market. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that when the U.S. sneezes, emerging markets catch a cold. At the same time, U.S. monetary policy shocks are not important for emerging markets relative to other kinds of external shocks.
Subjects: 
Structural vector autoregression
monetary policy shocks
international spillover effects of monetary policy
external shocks
emerging markets
JEL: 
F41
E3
O11
Document Type: 
Working Paper

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