Fig. 7

Effects of a negative VIX shock on typical EME and AE financial variables. Notes: The upper panel shows the country-level (US) impulse responses to a negative VIX shock along with the 68% posterior probability bands. The lower panels indicate the average responses (Typical EME and AE) to the VIX shock. 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 a negative VIX shock are available from the authors upon request