The literature on international business cycles has employed dynamic factor models to disentangle global from group-specific and national factors in countries' macroeconomic aggregates. Therefore, the countries have simply been classified ex ante as belonging to the same region or the same level...

We study the comovement of international business cycles in a time series clustering model with regime-switching. We extend the framework of Hamilton and Owyang (2012) to include time-varying transition probabilities to determine what drives similarities in business cycle turning points. We find...

The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of...

This paper puts forward a Bayesian Global Vector Autoregressive Model with Common Stochastic Volatility (B-GVAR-CSV). We assume that country specific volatility is driven by a single latent stochastic process, which simplifies the analysis and implies significant computational gains. Apart from...

In this paper, we examine international transmission of the negative credit supply shock, which originated in the euro area and the US. We use the multi-country global vector autoregression (GVAR) approach with trade and bilateral banking exposures as weights, and identify five structural shocks...

This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vector autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

In this paper we examine the spillovers of a shock to real output in the euro area to Central, Eastern and Southeastern Europe (CESEE) and its subregions Central Europe, Southeastern Europe, Russia, and the other members of the Commonwealth of Independent States (CIS). To this effect, we apply a...

The main goal of the paper is to assess a degree of coherence of macroeconomic shocks in the Visegrad Group (Czech Republic, Hungary, Poland and Slovak Republic, collectively: V4). We set out to consider the historical decomposition of unobservable supply and demand disturbances among V4...

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

This paper examines how shocks originated in large economies around the globe have transmitted to the growth rates of Latin American countries. For this purpose, a highly parsimonious structural VAR model – identified through bilateral trade linkages – is proposed, tested, estimated and...