In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...

In this paper, we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread...

We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...

This chapter provides a thorough introduction to panel, global, and factor augmented vector autoregressive models. These models are typically used to capture interactions across units (i.e., countries) and variable types. Since including a large number of countries and/or variables increases the...

We use a non-linear factor-augmented vector-autoregressive model to evaluate international effects of an unexpected decrease in euro area policy rates. Given the current environment of ultra low or negative interest rates, we especially focus on potential differences in the transmission of the...