dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

This paper follows the Bayesian time-varying VAR approach with stochastic volatility developed by Primiceri (2005), to …-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding …

adjustment process around PPP. By contrast, we combine these two explanations in the context of an innovative panel estimation … much shorter than estimated using linear PPP and more consistent with the observed volatility of nominal and real exchange …

business cycle volatility and have nonlinear effects on risk premia. Our empirical analysis suggests that the Great Recession …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …