This contribution investigates the business cycles of Switzerland compared to its five neighboring countries Germany, Austria, Italy, France and Liechtenstein. In contrast to the widespread notion of small countries "importing" the business cycle from bigger neighbors, it is shown that the real...

In this paper the oil price-macroeconomy relationship is investigated from a global perspective, by means of a large scale macro-financial-econometric model. In addition to real activity, fiscal and monetary policy responses and labor and financial markets are considered as well. We find that...

Dynamic Stochastic General Equilibrium models are often tested against empirical VARs or estimated by minimizing the distance between the model's and the VAR impulse response functions. These methodologies require that the data-generating process consistent with the DSGE theoretical model has a...

In this paper, we investigate the sources of macroeconomic fluctuations in Sub-Saharan African (SSA) countries with particular attention to the exchange rate system. We use a structural Vector Autoregression (VAR) model with limited capital mobility and long run restrictions to identify the...

The post-global financial crisis (GFC) macroeconomic dynamics in Korea displays diminished output and inflation variability with a slowdown in real activity, compared to the first decade of the 2000s. This paper investigates these two distinctive macroeconomic features in Korea by estimating a...

What is the dominant driver of macroeconomic uncertainty? Is it the aggregate demand or the aggregate supply shock? In this paper, first, I investigate the two-way relationship between macroeconomic uncertainty and economic activity. I used a Vector Autoregressive identification scheme by...

We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth,...

In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980-2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements in macroeconomic variables do not concern...

We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...

This paper uses a vector autoregression (VAR) approach to identify the driving forces of the growth slowdown in Japan during the 1990s. Negative shocks to both residential and nonresidential investment are shown to have been important determinants of the slowdown. Despite the collapse in asset...