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

Author/Editor:

Carolina Osorio Buitron ; Esteban Vesperoni

Publication Date:

September 30, 2015

Electronic Access:

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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.

Series:

Working Paper No. 15/215

Subject:

English

Publication Date:

September 30, 2015

ISBN/ISSN:

9781513558448/1018-5941

Stock No:

WPIEA2015215

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

35

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