Global Spillover Effects of Us Uncertainty

67 Pages Posted: 18 Jan 2018

See all articles by Saroj Bhattarai

Saroj Bhattarai

University of Texas at Austin - Department of Economics

Arpita Chatterjee

UNSW Australia Business School, School of Economics

Woong Yong Park

Seoul National University

Multiple version iconThere are 2 versions of this paper

Date Written: 2017-11-01

Abstract

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

Bhattarai, Saroj and Chatterjee, Arpita and Park, Woong Yong, Global Spillover Effects of Us Uncertainty (2017-11-01). 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

Saroj Bhattarai (Contact Author)

University of Texas at Austin - Department of Economics ( email )

Austin, TX 78712
United States

Arpita Chatterjee

UNSW Australia Business School, School of Economics ( email )

High Street
Sydney, NSW 2052
Australia

Woong Yong Park

Seoul National University ( email )

Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

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