declines in output, inflation, and the interest rate. Moreover, we document strong global impacts, making the world move in a …We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

euro area covering the real economy, monetary policy and measures of ex ante and ex post systemic risk representing … take a risk management perspective. One exercise considers the intertemporal financial stability trade-off in the context … of the global financial crisis, where we find ex post evidence in favour of monetary policy leaning against the financial …

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … models that do not account for powerful financial spillover channels are contaminated by a common global component; the …

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity … the degree of global integration of countries - and not a country's bilateral integration with the United States - is a …

structural counterfactual analysis based on conditional forecasts. We find that global GDP growth benefited from substantial … policy support during the global financial crisis but policy tightening thereafter, particularly fiscal consolidation, acted … as a significant drag on the subsequent global recovery. In addition we show that the role of policy has differed across …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …

model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends … in metals and a food prices. These factors are included in a FAVAR model together with selected macroeconomic variables …