Fig. 11

Responses to US UMP indicators (the Fed’s MBS and TS holdings). a Responses of US mortgage spread, global risk appetite, and typical foreign financial markets to a US MBS shock. Notes: The upper panel shows the country-level (US) impulse responses to US MBS shocks along with the 68% posterior probability bands. The lower panels indicate the average responses (Typical EME and AE) to such shocks. The average impulse response functions are calculated as a simple arithmetic average of the country-specific impulse response functions of 20 EMEs and 20 AEs. The country-level impulse responses to MBS shocks are available from the authors upon request. b Responses of US term spread, global risk appetite, and typical foreign financial markets to a US TS shock. Notes: The upper panel shows the country-level (US) impulse responses to US TS shocks along with the 68% posterior probability bands. The lower panels indicate the average responses (Typical EME and AE) to such shocks. The average impulse response functions are calculated as a simple arithmetic average of the country-specific impulse response functions of 20 EMEs and 20 AEs. The country-level impulse responses to TS shocks are available from the authors upon request