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International Transmission of the US Interest Rate Policy Shocks : Multi-Country Model Analysis Using FAVAR

Yim, Geung Hyung - 2018

-absorption effect (i.e., decrease in US imports owing to reduced domestic demand) or increase in world interest rate appears stronger …

Persistent link: https://www.econbiz.de/10012907265

Examining asymmetries in the transmission of monetary policy in the euro area : evidence from a mixed cross-section global VAR model

Georgiadis, Georgios - In: European economic review : EER 75 (2015), pp. 195-215

Persistent link: https://www.econbiz.de/10011522757

Stock market evidence on the international transmission channels of US monetary policy surprises

Maurer, Tim Dominik; Nitschka, Thomas - 2021

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...

Persistent link: https://www.econbiz.de/10012520011

Spillover effects from euro area monetary policy across the EU : a factor-augmented VAR approach

Potjagailo, Galina - 2016

.e., ten countries from Central and Eastern Europe (CEE) and three Western EU members. The analysis is based on a FAVAR model … variables. An expansionary Euro area monetary policy shock raises production in most non-Euro area countries. Somewhat larger …

Persistent link: https://www.econbiz.de/10011440779