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...

The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process. We assess the international...

We develop a general econometric model of currency crises and contagion that integrates a number of important features appearing in many different models recently proposed in the literature. In particular, we consider a Markov regime switching vector autoregression conditional heteroskedastic...

This paper assesses the global spillovers from identified US monetary policy shocks in a global VAR model. US monetary policy generates sizable output spillovers to the rest of the world, which are larger than the domestic effects in the US for many economies. The magnitude of spillovers depends...

This paper characterizes the transmission mechanism of monetary shocks across countries of the euro area, documents how this mechanism has changed with the introduction of the euro, and explores some potential explanations. The factor-augmented VAR (FAVAR) framework used is sufficiently rich to...

This paper examines the relationship between foreign direct investment and economic activity in India in the post liberalisation period. Foreign direct investment is measured both by the amount approved as well as the actual flows. Economic activity is measured by the index of industrial...

This paper looks at the history of money and its modern form from a scientific and mathematical point of view. The approach here is to emphasize simplicity. A straightforward model and algebraic formula for a large economy analogous to the ideal gas law of thermodynamics is proposed. It may be...

This paper tests for the existence of contagion during the 1997/98 Asian crisis. We interpret contagion as a significant change in the way that country-specific shocks are transmitted across international stock markets. Using the full-information framework of Favero and Giavazzi (2002) we find...

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...

This paper will investigate the Granger causality between foreign reserves and economic growth in twenty largest reserves-holding countries ranging from 1980 to 2008. The method of first-differencing each variable is used to estimate the panel data VAR equations for Granger causality test. The...