Journal of Monetary Economics 2020 DOI: 10.1016/j.jmoneco.2019.05.008 View full text
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Saroj Bhattarai, Arpita Chatterjee, Woong Yong Park

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 count…

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