This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...

We empirically analyse the response of US manufacturing labour market variables to various shocks, notably to trade openness and technology. The econometric approach involves an application of the recently developed global VAR (GVAR) methodology of D¶ees, DiMauro, Pesaran, and Smith (2005) to...

We explore the international spillovers from fiscal policy shocks via trade in Europe. A fiscal expansion stimulates domestic activity, which leads to more foreign exports and, hence, higher foreign output. To quantify this, we combine a panel VAR model in government spending, net taxes and GDP...

A growing empirical literature has sought to determine the effects of monetary policy shocks on exchange rates and other important macroeconomic variables. This paper seeks to add to this literature in the area of emerging markets by using the Vector Auto-Regression (VAR) methodology in an...

This paper provides a discussion of the `housing market' channels of the monetarytransmission mechanism (MTM) and offers some evidence on institutional differences in the European housing and mortgage markets. Using a number of VAR models, estimated individually for nine European countries over...

A growing empirical literature has sought to determine the effects of monetary policy shocks on exchange rates and other important macroeconomic variables. This paper seeks to add to this literature in the area of emerging markets by using the Vector Auto-Regression (VAR) methodology in an...