The global liquidity shock induced by the COVID-19 pandemic raises renewed concern about its impact on the economy. We examine the macroeconomic effect of global liquidity using the Global Vector Autoregression model with the quarterly dataset involving 33 countries. The main empirical results...

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...