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Spillovers from Euro Area and U.S. Credit and Demand Shocks: Comparing Emerging Europe on the Basis of a GVAR Model

Fadejeva, Ludmila; Feldkircher, Martin; Reininger, Thomas - 2015

and the U.S.A. For that purpose, we use a global vector autoregressive (GVAR) model and isolate disturbances stemming from … shocks in the euro area and in the U.S.A. Last, historical decompositions of deviations from trend growth show that for the … euro area developments, foreign shocks originating in the U.S.A., the UK and the CESEE and CIS regions feature most …

Persistent link: https://www.econbiz.de/10013370115

US Monetary Policy in a Globalized World

Cuaresma, Jesús Crespo; Doppelhofer, Gernot; … - 2016

We analyze the interaction between monetary policy in the US and the global economy proposing a new class of Bayesian global vector autoregressive models that accounts for time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary policy shock...

Persistent link: https://www.econbiz.de/10013370122

Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects

Grammig, Joachim; Melvin, Michael; Schlag, Christian - 2001

We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with...

Persistent link: https://www.econbiz.de/10010316285

Temporary and persistent fiscal policy shocks

Sola, Sergio - 2012

Abstract This paper conducts an empirical investigation of the effects of temporary versus persistent fiscal policy shocks. Using data from the US I show that short lived fiscal expansions have a positive effect on output and consumption; while persistent fiscal shocks generate negative effects...

Persistent link: https://www.econbiz.de/10010316756

Identifying the effects of government spending shocks with and without expected reversal: An approach based on U.S. real-time data

Cimadomo, Jacopo; Hauptmeier, Sebastian; Sola, Sergio - 2011

This paper investigates how expectations about future government spending affect the transmission of fiscal policy shocks. We study the effects of two different types of government spending shocks in the United States: (i) spending shocks that are accompanied by an expected reversal of public...

Persistent link: https://www.econbiz.de/10010316772

Origins and Resolution of Financial Crises; Lessons from the Current and Northern European Crises

Ostrup, Finn; Oxelheim, Lars; Wihlborg, Clas - 2009

Since July 2007 the world economy has experienced a severe financial crisis originating in the U.S. housing market. The crisis has subsequently spread to the financial sectors in European and Asian economies and led to a severe worldwide recession. The existing literature on financial crises...

Persistent link: https://www.econbiz.de/10010320249

The Current Global Financial Turmoil and Asian Developing Countries

Akyuz, Yilmaz - 2008

Persistent link: https://www.econbiz.de/10010320489

Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?

Gottschalk, Jan; Döpke, Jörg; Kamps, Christophe - 2001

This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...

Persistent link: https://www.econbiz.de/10010260459

Business cycle dynamics of a new Keynesian overlapping generations model with progressive income taxation

Heer, Burkhard; Maußner, Alfred - 2006

In our dynamic optimizing sticky price model, agents are heterogeneous with regard to their age and their productivity. We find that the business cycle dynamics in the OLG model in response to both a technology shock and a monetary shock are similar, but not completely identical to those found...

Persistent link: https://www.econbiz.de/10010261430

What are the effects of fiscal policy shocks?

Mountford, Andrew; Uhlig, Harald - 2005

We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some variables to fiscal policy shocks be set to zero or need additional...

Persistent link: https://www.econbiz.de/10010263594