Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
We study the changing international transmission of US financial shocks over the period 1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to...