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

36 Pages Posted: 27 Nov 2015

See all articles by Carolina Osorio-Buitron

Carolina Osorio-Buitron

International Monetary Fund (IMF)

Esteban Vesperoni

International Monetary Fund (IMF); University of Maryland, College Park

Date Written: September 2015

Abstract

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 often times 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.

Keywords: Economic News, Emerging Economies, economies, monetary conditions, money, advanced economies, Forecasting and Other Model Applications, Forecasting and Simulation, Financial Markets and the Macroeconomy, Monetary Policy (Targets, Instruments, and Effects), Studies of Particular Policy Episodes, International Policy Coordination and Transmission, Forecasting and Simulation,

JEL Classification: C53, C53, E37, E37, E44, E44, E52, E52, E65

Suggested Citation

Osorio-Buitron, Carolina and Vesperoni, Esteban Rodrigo, Big Players Out of Synch: Spillovers Implications of US and Euro Area Shocks (September 2015). IMF Working Paper No. 15/215, Available at SSRN: https://ssrn.com/abstract=2696094

Carolina Osorio-Buitron (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Esteban Rodrigo Vesperoni

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

University of Maryland, College Park ( email )

College Park, MD 20742
United States

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