The global financial crisis was a stark reminder of the importance of cross-country linkages in the global economy. We document growth synchronization across a diverse group of 185 countries covering 7 regions, and pay particular attention to the period around the global financial crisis. A...

We extract a global factor from cross-country output growth since 1960. We find that the fluctuations of the global factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with estimated persistence at 0.98. Evidence of time variation...

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

In this paper we analyze European business cycles before and under EMU. Across the two periods we find 1) a significant decline in real exchange rate volatility, 2) significant changes in cross-country correlations, and 3) the volatility of macroeconomic fundamentals largely unchanged. We...

To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo...

This paper reviews the evidence on the sources of business cycles within and across countries and the implications for the importance of borders in business cycles. A simple econometric model is presented and applied to within-U.S. and cross-country data in order to provide a framework for...

We propose and implement an index of macroeconomic vulnerability to foreign shocks based on a structural time-varying bayesianVARwith a block-exogeneity hypothesis for a given pair of a large economy and a small open economy. The index is based on the sum of the responses of the small open...

In this paper, we derive a small textbook New Keynesian DSGE model to evaluate Polish and Romanian business cycles during the 2003 - 2014 period. Given the similarities between the two economies, we use an identical calibration procedure for certain coefficients and marginal prior distributions...

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make three contributions to the literature. First, the...