Fig. 6

Responses to US UMP indicators. a Responses of typical foreign financial markets and global risk appetite to a US mortgage spread shock. Notes: The upper panel shows the country-level (US) impulse responses to US mortgage spread 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 reported in Appendix Fig. 13 (EMEs) and 14 (AEs). b Responses of typical foreign financial markets and global risk appetite to a US term spread shock. Notes: The upper panel shows the country-level (US) impulse responses to US term spread 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 reported in Appendix Fig. 13 (EMEs) and 14 (AEs)