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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR

Arratibel, Olga - 2014

-2012) in the Polish economy. The empirical findings show that: (1) output appears more responsive to an interest rate shock at … the beginning of our sample. Since 2000, absorbing this shock has become less costly in terms of output, notwithstanding … some reversal since the beginning of the global financial crisis. The exchange rate shock also has a time-varying effect on …

Persistent link: https://www.econbiz.de/10013060040

Identifying Determinants of Germany's International Price Competitiveness : A Structural VAR Approach

Meurers, Martin - 2006

The paper employs a structural vector auto-regression (SVAR) along the lines of Blanchard and Quah (1989) and Clarida and Gali (1994) to identify the sources of changes in German international price competitiveness over the past 30 years. This leads to a separation of the driving forces of the...

Persistent link: https://www.econbiz.de/10012446989

On the international dissemination of technology news shocks

Claudio, João Carlos; Schweinitz, Gregor von - 2020

response pattern of key macroeconomic variables in each country; and (ii) the identified technology news shock processes …

Persistent link: https://www.econbiz.de/10012321171

How much does aggregate demand travel across the Atlantic?

Van Robays, Ine; Stracca, Livio - 2020

area. We estimate a Bayesian VAR with sign restrictions, using standard restrictions for the domestic impact of the shock …

Persistent link: https://www.econbiz.de/10012241170

Macroeconomic fluctuations under natural disaster shocks in Central America and the Caribbean

Wright, Allan; Borda, Patrice - 2016

This paper examines the role of disaster shock in a one-sector, representative agent dynamic stochastic general …

Persistent link: https://www.econbiz.de/10011575500

Capital flows in the euro area and TARGET2 balances

Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - 2019

We estimate a panel VAR model for the euro area to quantitatively assess how the uneven recourse of national banking systems in the euro area to the ECB's unconventional refinancing operations that led to the accumulation of large TARGET2 balances, has contributed to the propagation of different...

Persistent link: https://www.econbiz.de/10012034705

The macroeconomic effects of international uncertainty

Crespo Cuaresma, Jesús; Huber, Florian; Onorante, Luca - 2019

flexibility in terms of achieving shrinkage. The factor structure enables us to identify an international uncertainty shock by … responses of a set of macroeconomic and financial variables show that an international uncertainty shock exerts large effects on …

Persistent link: https://www.econbiz.de/10012037349

Macroeconomic policy transmission and international interdependence : a SVAR application to Brazil and US

Dias, Maria Helena Ambrosio; Dias, Joilson - In: Economia : revista da ANPEC 14 (2013) 2, pp. 27-45

Economic policy transmission between trade partners has been analyzed over different contexts in the literature. Depending on real or nominal frictions, the results indicate possible beggar-thy-neighbor effects for policies, given international trade, and need for coordinating policies. The...

Persistent link: https://www.econbiz.de/10011864672

Exchange rate shocks and inflation comovement in the euro area

Leiva-Leon, Danilo; Martínez-Martín, Jaime; Ortega, Eva - 2020

This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries in ation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a exible empirical framework based on dynamic factor models subject to drifting...

Persistent link: https://www.econbiz.de/10012181317

Shifts in monetary policy and exchange rate dynamics : is Dornbusch's overshooting hypothesis intact, after all?

Rüth, Sebastian - 2019

How do nominal exchange rates adjust after surprise contractions in monetary policy? While the seminal contribution by Dornbusch provides concise predictions - exchange rates appreciate, i.e., overshoot on impact before depreciating gradually - empirical support for his hypothesis is at best...

Persistent link: https://www.econbiz.de/10012124364