Front Matter Page

SPILLOVER NOTES

Spillover Implications of Differences in Monetary Conditions in the United States and in the Euro Area

Carolina Osorio Buitron and Esteban Vesperoni

SPILLOVER TASK FORCE | INTERNATIONAL MONETARY FUND

1 JULY 2015

Front Matter Page

Spillover Implications of Differences in Monetary Conditions in the United States and the Euro Area

Carolina Osorio Buitron and Esteban Vesperoni

Front Matter Page

Copyright © 2015

International Monetary Fund

Cataloging-in-Publication Data

Spillover Implications of Differences in Monetary Conditions in the United States and the Euro Area/prepared by Carolina Osorio Buitron and Esteban Vesperoni. – Washington, D.C.: International Monetary Fund, 2015.

  • pages ; cm – (report)

Includes bibliographical references.

ISBN: [….]

1. Spillover Effects 2. Monetary Policy 3. Emerging Markets 4. Exchange rates

I. Osorio, Carolina and Esteban Vesperoni II. International Monetary Fund. IV. Title: Spillover Implications of Differences in Monetary Conditions in the United States and the Euro Area

ISBN: 9781475541403 (paper)

ISBN: 9781475541489 (ePub)

ISBN: 9781475541496 (Mobipocket)

ISBN: 9781475541502 (Web PDF)

This report presents research by IMF staff on issues of policy interest. The views expressed in this paper are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

We are grateful to Chanpheng Fizzarotti, Daniel Rivera Greenwood, and Ava Yeabin Hong (all Research Department) for excellent research assistance. The note benefited from useful discussions with Aqib Aslam, Romain Duval, and Emil Stavrev (Research Department), Sergio Sola (Middle East and Central Asia Department), Juan Rubio-Ramirez (Duke University), Sebastian Weber (European Central Bank), Juan Yepez (Pichincha); we also thank the IMF Spillover Taskforce for their insightful comments.

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Contents

  • Overview
  • Background and Main Findings
  • Data and Methodology
  • Spillovers within Systemic Advanced Economies
  • Spillovers to Emerging and Nonsystemic Advanced Economies
  • Appendix 1: Spillovers and Synchronicity in the United States and the Euro Area: Developments During Selected Monetary Policy Cycles
  • References
  • Figures
  • 1. United States and Euro Area 10-Year Yield Decomposition
  • 2. Effects of U.S. and Euro Area Shocks on the U.S. Dollar–Euro Exchange Rate
  • 3. Spillovers to Nonsystemic Advanced Economies from Shocks in the United States and Euro Area
  • 4. Spillovers from Real Shocks in the United States and Euro Area by Region
  • 5. Responses to Real Shocks: Differences between Low and High Synchronicity
  • 6. Responses to Money Shocks: Differences between Low and High Synchronicty
Spillover Implications of Differences in Monetary Conditions in the United States and the Euro Area
Author: Ms. Carolina Osorio Buitron and Mr. Esteban Vesperoni