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Global commodity cycles and linkages a FAVAR approach

Lombardi, Marco; Osbat, Chiara; Schnatz, Bernd - 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/10003972625

Large global volatility shocks, equity markets and globalisation : 1885 - 2011

Mehl, Arnaud - 2013

Persistent link: https://www.econbiz.de/10009766418

Global impacts of US monetary policy uncertainty shocks

Lastauskas, Povilas; Nguyen, Anh D. M. - 2021

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … declines in output, in ation, and the interest rate. Moreover, we document strong global impacts, making the world move in a …

Persistent link: https://www.econbiz.de/10012418859

EME financial conditions : which global shocks matter?

Lodge, David; Manu, Ana-Simona - 2019

has emphasised the prominent role of US monetary policy, we find that although US monetary shocks have some influence in …

Persistent link: https://www.econbiz.de/10012009181

The evolving impact of global, region-specific and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - 2018

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...

Persistent link: https://www.econbiz.de/10011856363

Monetary policy and its transmission in a globalised world

Ca'Zorzi, Michele; Dedola, Luca; Georgiadis, Georgios; … - 2020

System monetary policy in a unified and methodologically consistent framework. It identifies pure monetary policy shocks by … hierarchy in the global spillovers from ECB and Federal Reserve monetary policy: while the spillovers to consumer prices are … relatively small in both directions, Federal Reserve monetary policy shocks have a larger impact on euro area financial markets …

Persistent link: https://www.econbiz.de/10012216473

Global impacts of US monetary policy uncertainty shocks

Lastauskas, Povilas; Nguyen, Anh D. M. - In: Journal of international economics 145 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014480276

Global macro-financial shocks and expected default frequencies in the euro area

Castrén, Olli (contributor); Dées, Stéphane (contributor) - 2008

Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level...

Persistent link: https://www.econbiz.de/10003748979

Global versus local shocks in micro price dynamics

Andrade, Philippe; Zachariadis, Marios - In: Journal of international economics 98 (2016), pp. 78-92

Persistent link: https://www.econbiz.de/10011654908

Financial globalisation, monetary policy spillovers and macro-modelling : tales from 1001 shocks

Georgiadis, Georgios; Jančoková, Martina - 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 … imply implausibly similar estimates of the global output spillovers from monetary policy in the US and the euro area. None …

Persistent link: https://www.econbiz.de/10011664579