Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes factor-augmented vector autoregressive model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200...

We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price...

The global financial crisis and the subsequent uneven recovery have underscored the need for Africa's resilience to output and other shocks originated in the rest of the world. A comparison of two regional economic communities - the East African Community (EAC) and the Southern Africa Customs...

Plummeting commodity prices, China's economic malaise, and global financial market turbulence have recently wreaked havoc on African economies. This paper investigates whether, and to what extent, these intertwined shocks spillover into the Tanzanian economy. The author finds that a 1 percentage...

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...

We use a structural VAR with sign restrictions to jointly identify the impact of monetary policy, private absorption, technology and oil price shocks on current account fluctuations in the U.S.. We derive the sign restrictions from theoretical impulse response functions of a DSGE model with oil,...

We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price...

To investigate the dynamic effect of external shocks on an oil exporting economy, we estimate, using Bayesian approach, a DSGE model based on the features of the Algerian economy. The main purpose is to investigate the dynamic effect of four external shocks (oil price shock, USD/EUR exchange...

Using a modern structural VAR with block exogeneity and identifying restrictions, this paper analyzes: first, the global macroeconomic linkages among the dollar exchange rate, oil price, China's producer price, U.S.'s export price, EU's export price and Japan's export price; and second, the...

The current financial crisis has made it abundantly clear that business cycle modeling can no longer abstract from financial factors. It is also clear that the current standard approach of modeling labor markets without explicit unemployment has its limitations. We extend what is becoming the...