autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary … policy shock leads to a persistent fall in international output, a drop in global inflation rates, a rise in international … shock to foreign real GDP growth …

) sign restrictions, we show that banks react aggressively to an expansionary monetary policy shock by lowering their lending …

GVAR is derived as an approximation to a global unobserved common factor model. Also using average pair-wise cross …-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and … policy shock, we also consider oil price, US equity and US real output shocks …

large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …

crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial …

-type staggered price setting approach, which means that the adjustment of the aggregate loan rate to a monetary policy shock is …