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...

The paper assesses the transmission of US supply, demand and monetary policy shocks between 1976 and 2008 based on a factor-augmented vector autoregressive model (FAVAR) which is applied to a newly constructed set of more than 200 German time series. The study not only assesses the transmission...

In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.

This paper presents the utilization of 31 indicators of the economic and social development of some 45 countries, taken from the World Bank yearly publication “World Development Indicators” (WDI'2002), to create the static econometric model EM'2000, featuring 10 equations, 10 endogenous as...

This paper presents the utilization of some 31 indicators of the economic and social development of some 45 countries, taken from the World Bank yearly publication World Development Indicators: WDI' 2002, to create the static econometric model EM' 2000, featuring 10 equations, 10 endogenous as...

We analyse the impact of industry on non industrial production, as well as its effect on wages and employment in 6 OECD countries: France, Germany, Italy, Spain, the United Kingdom and the United States for the period 1960-2012. Our approach to macro-econometric modelling have into account both...

Establishing a robust causal relationship between trade and income has been difficult. Frankel and Romer (1999) use a geographic instrument to identify a positive effect of trade on income. Rodriguez and Rodrik (2000) show that these results are not robust to controlling for omitted variables...

This paper analyzes competing interpretations for the large increases in the hoarding of international reserves by developing countries. While the first phase of the rapid hoarding of reserves in the aftermath of the East Asian crisis has been dominated by self insurance against exposure to...

This paper studies the interaction between monetary policy, financial markets, and the real economy. We develop a Bayesian framework to estimate proxy structural vector autoregressions (SVARs) in which monetary policy shocks are identified by exploiting the information contained in high...

This paper proposes a novel wavelet-based approach for constructing composite indicators. The wavelet-based methodology exploits the ability of wavelet analysis to analyse the relationships between variables on a scale-by-scale, rather than aggregate, basis. A wavelet-based index which combines...