Global Impacts of Us Monetary Policy Uncertainty Shocks
نویسندگان
چکیده
We build a new empirical model to estimate the global impact of an increase in volatility US monetary policy shocks. Specifically, we admit time-varying variances local structural shocks from stochastic specification. By allowing for rich dynamic interaction between endogenous variables and setting, find that interest rate uncertainty not only drives output inflation volatility, but also causes declines output, inflation, rate. Moreover, document strong impacts, making world move very synchronous way. Crucially, spillback effects are found be significant even economy. JEL Classification: C32, C54, E52, E58, F44
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3797133