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Ms. Carolina Osorio Buitron, Mr. Esteban Vesperoni, and Gian Maria Milesi-Ferretti

.S. have been large, reflecting bold policy action by the ECB and a downward shift in inflation expectations in Europe. We also find evidence that spillovers could be amplified in synchronous episodes and dampened in asynchronous ones. Regardless of whether shocks originate in the U.S. or the EA, real shocks in SAEs—unanticipated improvements in economic prospects—have positive impacts on activity in other economies, while money shocks—unanticipated tightening of monetary conditions—have a negative impact. Our paper is related to the empirical literature on the

Ms. Carolina Osorio Buitron and Mr. Esteban Vesperoni
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.
Ms. Carolina Osorio Buitron and Mr. Esteban Vesperoni

real shocks to U.S. yields point to negative surprises on economic activity throughout 2001 (panel 3, dark red of Figure A1.1 )—with somewhat volatile perceptions, likely associated with volatility in underlying data, as noted above. The framework also captures the slow reaction by the Federal Reserve and the increase in the term premium as a positive contribution of money shocks to yields. The EA economy had also experienced a rapid recovery starting in late 1998, with the economy peaking during the first quarter of 2001 (at an annualized year-over-year rate of 5

Mr. Prakash Loungani and Mr. Phillip L Swagel

since inflation is ordered last in the VAR. The role of fiscal influences—money growth and exchange rate changes—is correspondingly lower than is the case for the entire sample. One important additional result here is that the uncertainty about the relative importance of money shocks and exchange rate shocks is reduced as well. For instance, at a ten year horizon, money shocks account for between 6 and 10 percent of the variance of inflation, whereas exchange rates account for between 14 and 18 percent. In both cases, the choice of ordering does not really alter the

Carolina Osorio Buitron and Mr. Esteban Vesperoni

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 nonsystemic advanced economies could be dampened. 1. Background and Main Findings Different speeds of recovery in systemic economies have given place to increasingly divergent monetary conditions. 1 Monetary authorities in the United States have