Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The...

Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The...

This paper tries to answer the long-standing question of whether money causes output. Instead of focusing on domestic monetary policy and output, we analyze U.S. monetary policy and its possible effects on real output in China. Our results indicate that the main monetary instrument in the U.S.,...

Standard economic textbooks portray the money supply as exogenous. Most of these use a money multiplier framework to demonstrate the causal role of the monetary base in determining commercial bank lending and overall economic activity. In contrast, endogenous money theories attribute the...

This paper combines new data and a narrative approach to identify shocks to political pressure on the Federal Reserve. From archival records, I build a data set of personal interactions between U.S. Presidents and Fed officials between 1933 and 2016. Since personal interactions do not...

I study spillovers of US monetary policy to the rest of the world, as well as spillbacks to the US economy in an empirical multi-country model over time. Within the multilateral framework, I distinguish the bilateral effect from the network effects that arise from interactions among recipient...

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

The paper attempts to provide an appropriate model specification for identifying technology and other macroeconomic shocks in a structural VAR framework. The investigation is conducted based on two seminal structural VAR studies by Gali (1999) and King et al. (1991). The models of these studies...

An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the fourth moment are derived, and expressions for the dynamic...

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...