We study the changing international transmission of U.S. monetary policy shocks to 14 OECD countries over the period 1981Q1–2010Q4. The U.S. monetary policy shock is defined as unexpected change in Effective Federal Funds Rate (FFR). We use a time varying parameter factor augmented VAR...

This paper examines the impact of real exchange rate volatility on economic growth in Kenyan. The study employed the Generalized Autoregressive Condition of Heteroscedasticity (GARCH) and computation of the unconditional standard deviation of the changes to measure volatility and Generalized...

The analysis of market efficiency in the foreign exchange market adopted a new approach after Granger (1986) stated that assets in an efficient market could not be cointegrated. If they were, there would be a market inefficiency since there would be Granger causality running at least in one...

Using structural time series models, Cuevas estimates common stochastic trends of real GDP and imports in Venezuela from 1974-2000. The real imports trend drifts upward at almost twice the rate of growth of GDP. This highlights the powerful structural tendency toward increasing imports in...

The most widely accepted explanation for the inverse association between private investments and current accounts [Glick and Rogoff, 1995] rests on data for manufactures through 1990. Is this consensus robust to revisions to the national accounts and the expansion of information technologies...

We provide new evidence on the spillover effects from US interest rate changes, focusing on factors that are pertinent to the current conjuncture: weak recovery prospects in emerging market and developing economies (EMDEs), and the confluence of macroeconomic shocks shaping the path of interest...

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...

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...

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...

In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.