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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
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 …
Persistent link: https://www.econbiz.de/10013130602
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Monetary Policy Shocks in the Euro Area and Global Liquidity Spillovers
Sousa, João; Zaghini, Andrea - 2021
aggregate. The impulse responses show that a positive shock to foreign liquidity leads for the euro area to a permanent increase …
Persistent link: https://www.econbiz.de/10013319486
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Global Financial Transmission of Monetary Policy Shocks
Ehrmann, Michael; Fratzscher, Marcel - 2021
The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...
Persistent link: https://www.econbiz.de/10013317648
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International Trade, Technological Shocks and Spillovers in the Labour Market : A GVAR Analysis of the US Manufacturing Sector
Vansteenkiste, Isabel - 2007
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 Dees, DiMauro, Pesaran, and Smith (2005) to 12...
Persistent link: https://www.econbiz.de/10012777698
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Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling : Tales from 1001 Shocks
Georgiadis, Georgios - 2017
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 … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …
Persistent link: https://www.econbiz.de/10012953383
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Global Commodity Cycles and Linkages : A FAVAR Approach
Lombardi, Marco J. - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR 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...
Persistent link: https://www.econbiz.de/10013146204
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Housing, Consumption and Monetary Policy : How Different are the US and the Euro Area?
Musso, Alberto - 2012
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10013116395
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Identifying SVARS from Sparse Narrative Instruments : Dynamic Effects of U.S. Macroprudential Policies
Budnik, Katarzyna Barbara - 2020
We study the identification of policy shocks in Bayesian proxy VARs for the case that the instrument consists of sparse qualitative observations indicating the signs of certain shocks. We propose two identification schemes, i.e. linear discriminant analysis and a non-parametric sign concordance...
Persistent link: https://www.econbiz.de/10012844716
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Monetary Policy and its Transmission in a Globalised World
Ca'Zorzi, Michele - 2020
and financial variables in the rest of the world …
Persistent link: https://www.econbiz.de/10012834227
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Large Global Volatility Shocks, Equity Markets and Globalisation : 1885-2011
Mehl, Arnaud - 2015
significant and large economically. On average, global equity market valuations correct by about 20% in the month when a shock …
Persistent link: https://www.econbiz.de/10013035639