This study analyzes the international transmission of US interest rate hikes using the factor-augmented autoregression model. To achieve this purpose, this study first identifies the shocks that result from the US interest rate policies and analyzes how these shocks impact the outputs and prices...

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...

This study investigates the transmission mechanism of Chinese monetary policy shocks to other East Asian countries using a VAR model and focusing on their effects on the trade channel. The main empirical results are as follows. First, in response to Chinese expansionary monetary policy shocks,...

Economic policy transmission between trade partners has been analyzed over different contexts in the literature. Depending on real or nominal frictions, the results indicate possible beggar-thy-neighbor effects for policies, given international trade, and need for coordinating policies. The...

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial...

This paper employs a Global Vector Auto Regressive (GVAR) model to study the evolution of the response of the Commonwealth of Independent States (CIS) to foreign output and oil price shocks. During a two-decade observation period, cross-country trade and financial linkages experience no-table...

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...