We employ a global vector autoregression (GVAR) model to analyze international spillover effects of US trade restrictions, modeled as a reduction of US imports. Our sample consists of the US and 25 countries in the rest of the world, grouped into larger regions comprising European nations,...

This paper estimates equilibrium rates of macroeconomic aggregates for small open economies. We simultaneously identify the transitory and permanent components of output, inflation, the interest rate and the exchange rate by means of a multivariate trend-cycle decomposition. Realizations of the...

This paper evaluates simple, non-optimising monetary policy rules in the tradition of the well-known Poole analysis within a general two-country open-economy model of the New Open Economy Macroeconomic framework. Pure money supply rules are compared with simple interest rate rules for the large...

This paper analyzes the effectiveness of the credit channel as a transmission mechanism of monetary policy in 20th century economic history by applying a Markov-switching model on the default premium of U.S. corporate bond portfolios. Beside the stance of monetary policy and the state of the...

The theory of exchange rate target zones focuses on the role of exchange rate expectations in determining exchange rate behaviour and interest rate differentials in currency bands. This paper analyses earlier models of the target zone research programme as well as more recent developments...

This paper addresses the question of whether the common monetary policy of the European Central Bank is transmitted asymmetrically within the Euro area. To this end, we employ a Markov switching model to identify a credit channel of monetary policy transmission and investigate whether the credit...