Big Players Out of Synch: Spillovers Implications of US and Euro Area Shocks

By Carolina Osorio Buitron, Esteban Vesperoni

September 30, 2015

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Carolina Osorio Buitron, and Esteban Vesperoni. Big Players Out of Synch: Spillovers Implications of US and Euro Area Shocks, (USA: International Monetary Fund, 2015) accessed December 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Given the prospects of asynchronous monetary conditions in the United States and the euro area, this paper analyzes spillovers among these two economies, as well as the implications of asynchronicity for spillovers to other advanced economies and emerging markets. Through a structural vector autoregression analysis, country-specific shocks to economic activity and monetary conditions since the early 1990s are identified, and are used to draw implications about spillovers. The empirical findings suggest that real and monetary conditions in the United States and the euro area have oftentimes been asynchronous. The results also point to significant spillovers among them, in particular since early 2014—with spillovers from the euro area to the United States being particularly large. Against the backdrop of asynchronous conditions in these two economies, spillovers from real and money shocks to emerging markets and non-systemic advanced economies could be dampened.

Subject: Bond yields, Exchange rates, Financial institutions, Financial sector policy and analysis, Financial services, Foreign exchange, Monetary policy, Spillovers, Unconventional monetary policies, Yield curve

Keywords: Authorities in the United States, Bond yields, EA yield, Economic News, Economy, Emerging Economies, Euro area to the U.S., Exchange rates, Global, Monetary Policy, Money shock, Money U.S., Spillovers, Unconventional monetary policies, WP, Yield curve

Publication Details

Pages:

35
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2015/215
Stock No:

WPIEA2015215
ISBN:

9781513558448
ISSN:

1018-5941

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