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The changing international transmission of us monetary policy shocks: is there evidence of contagion effect on oecd countries
Kazi, Irfan akbar; Wagan, Hakimzadi; Akbar, Farhan - In: Economics Bulletin 31 (2011) 4, pp. 49-49
We study the changing international transmission of US monetary policy shocks to 14 OECD countries over the period 1981-2010. We use a Time Varying Parameter Factor Augmented VAR approach (TVP-FAVAR) to study the EFFR shocks together with a large data set of 265, major financial, macroeconomic...
Persistent link: https://www.econbiz.de/10010835853
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The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries
Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
We study the changing international transmission of US monetary policy shocks to 14 major OECD countries over the period 1981Q1-2010Q4. We use a time-varying parameter factor augmented VAR approach to study the effective federal funds rate shocks together with a large data set of 265, major...
Persistent link: https://www.econbiz.de/10010552492
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The changing international transmission of US monetary policy shocks : is there evidence of contagion effect on OECD countries
Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - In: Economic modelling 30 (2013), pp. 90-116
Persistent link: https://www.econbiz.de/10009703715
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The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
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...
Persistent link: https://www.econbiz.de/10010304435
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The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011
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...
Persistent link: https://www.econbiz.de/10009643168
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The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
We study the changing international transmission of US financial shocks over the period 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...
Persistent link: https://www.econbiz.de/10009003376
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The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
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...
Persistent link: https://www.econbiz.de/10008937395
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The Changing International Transmission of Financial Shocks : Evidence from a Classical Time-Varying FAVAR
Eickmeier, Sandra - 2016
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...
Persistent link: https://www.econbiz.de/10012991047
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Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR
Eickmeier, Sandra - 2009
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...
Persistent link: https://www.econbiz.de/10010299849
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Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR
Eickmeier, Sandra - 2009
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...
Persistent link: https://www.econbiz.de/10010313065