Global Spillover Effects of Us Uncertainty

We study spillover effects of US uncertainty fluctuations using panel data from fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and leads to capital outflows from them. Moreover, it decreases EME output, while increasing their consumer prices and net exports. The negative effects on output, exchange rates, and stock prices are weaker, but the effects on capital and trade flows stronger, for South American countries compared to other EMEs. We present a model of a small open economy that faces an external shock to interpret our findings.

JEL Classification: C33, E44, E52, E58, F32, F41

Suggested Citation: Suggested Citation

Bhattarai, Saroj and Chatterjee, Arpita and Park, Woong Yong, Global Spillover Effects of Us Uncertainty (November, 2017). Globalization and Monetary Policy Institute Working Paper No. 331, Available at SSRN: https://ssrn.com/abstract=3103793 or http://dx.doi.org/10.24149/gwp331