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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
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Technology shocks and robust sign restrictions in a Euro Area SVAR
Peersman, Gert (contributor); Straub, Roland (contributor) - 2004
Persistent link: https://www.econbiz.de/10002233650
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Global risk and the dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the …
Persistent link: https://www.econbiz.de/10012705529
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The impact of monetary policy shocks on commodity prices
Anzuini, Alessio; Lombardi, Marco; Pagano, Patrizio - 2010
overwhelmingly large. This finding is also confirmed under different identification strategies for the monetary policy shock …. - Monetary policy Shock ; Oil Price ; VAR …
Persistent link: https://www.econbiz.de/10003994006
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Exchange rate shocks and inflation comovement in the euro area
Leiva-Leon, Danilo; Martínez-Martín, Jaime; Ortega, Eva - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries in ation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a exible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012181317
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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; Chudik, Alexander; Mehl, Arnaud - 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/10008901483
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The impact of monetary policy and exchange rate shocks in Poland : evidence from a time-varying VAR
Arratibel, Olga; Michaelis, Henrike - 2014
Persistent link: https://www.econbiz.de/10010380090
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Identifying the effects of monetary policy shocks on exchange rates using high frequency data
Faust, Jon (contributor) - 2002
Persistent link: https://www.econbiz.de/10001702816
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E pluribus plures : shock dependency of the USD pass-through to real and financial variables
Ferrari, Massimo Minesso; Gräb, Johannes - 2022
in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US … expansionary shock, the positive effects of stronger global demand - the "real" channel-dominate the negative effects of a stronger … stock valuations up to 2.2 (2.5) and 8% (15%) respectively, while if the appreciation is driven by a monetary policy shock …
Persistent link: https://www.econbiz.de/10013285964
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Assessing predetermined expectations in the standard sticky-price model : a Bayesian approach
Welzel, Peter (contributor) - 2006
monetary shock and a preference shock are comparable to those of an identified VAR model …
Persistent link: https://www.econbiz.de/10003320768