This paper investigates the macroeconomic effects of uncertainty originating in the financial sector. My contribution is twofold. First, I document empirical relevenace of financial uncertainty using SVAR methods. Then, I employ the DSGE framework developed by Gertler and Karadi (2011) to...

This paper proposes a new perspective on international capital flows and countries' long-run external asset position. Cross-sectional evidence for 84 developing countries shows that over the last three decades countries that have had on average higher volatility of output growth: (1) accumulated...

The global financial crisis of 2007-2009 spread through different channels from its origin in the United States to large parts of the world. In this paper we explore the financial and the trade channels in a unified framework and quantify their relative importance for this transmission....

Emerging market economies (also known as emerging economies, EEs) have become important on the world economic stage, where they now play a vital role in international trade and financial flows and account for a conspicuous fraction of the global economic dynamic. Despite the relatively tepid...

This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec- tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

The paper reviews adjustment dynamics in the EMU on the basis of estimated DSGE models for four large EA Member States (DE, FR, IT, ES). We compare the response of the four countries to identical shocks and find a particularly strong response of employment and wages in ES, a high sensitivity of...

The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the recent years, despite the modest recovery in advanced economies. The higher divergence of...

We assess to which degree an international transfer mechanism can enhance consumption risk sharing as well as allocative efficiency and apply our results to a potential European unemployment benefit scheme (EUBS). Specifically, we first develop a simple model with nominal rigidities to build...

This paper studies the effect of foreign direct investment (FDI) on the transmission of international business cycles. I document for the G7 countries between 1991 and 2006 that increases in bilateral FDI linkages are associated with more synchronized investment cycles. I also find that the...

Using a factor structural VAR for 14 countries out of the G20 group, we document that output innovations originating outside the G7 account for shares of 10 to 25 percent in the business cycle fluctuations of G7 GDP growth. Using auxiliary regressions, we additionally find that these innovations...