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E pluribus plures : shock dependency of the USD pass-through to real and financial variables

Ferrari, Massimo Minesso; Gräb, Johannes - 2022

in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US … expansionary shock, the positive effects of stronger global demand - the "real" channel-dominate the negative effects of a stronger … stock valuations up to 2.2 (2.5) and 8% (15%) respectively, while if the appreciation is driven by a monetary policy shock …

Persistent link: https://www.econbiz.de/10013285964

International transmission of quantitative easing policies : evidence from Canada

Kabaca, Serdar; Tuzcuoglu, Kerem - 2022 - Last updated: June 29, 2022

What are the cross-border spillovers from major economies' quantitative easing (QE) policies to their trading partners? We provide evidence by concentrating on spillovers from the US to Canada during the zero lower bound period when QE policies were actively used. We identify QE shocks in the US...

Persistent link: https://www.econbiz.de/10013264909

Understanding the cross-country effects of US technology shocks

Miyamoto, Wataru; Nguyen, Thuy Lan - 2017

Business cycles are substantially correlated across countries. Yet most existing models are not able to generate substantial transmission through international trade. We show that the nature of such transmission depends fundamentally on the features determining the responsiveness of labor supply...

Persistent link: https://www.econbiz.de/10011662021

How much does aggregate demand travel across the Atlantic?

Van Robays, Ine; Stracca, Livio - 2020

area. We estimate a Bayesian VAR with sign restrictions, using standard restrictions for the domestic impact of the shock …

Persistent link: https://www.econbiz.de/10012241170

Endogenous time-varying volatility and emerging market business cycles

Dueber, Jan-Philipp - 2018

Time-varying volatility plays a crucial role in understanding business cycles in emerging market economies. However, the literature treats volatility as an exogenous process. This paper endogenizes time-varying volatility in the debt premium and total factor productivity into a standard small...

Persistent link: https://www.econbiz.de/10011925940

What drives business cycle synchronization? : BMA results from the European Union

Beck, Krzysztof - In: Baltic journal of economics 19 (2019) 2, pp. 248-275

The last twenty years have brought a bulk of inconsistent results on the determinants of business cycle synchronization (BCS). Researchers have usually focused their attention on a limited set of possible determinants, not accounting for model uncertainty. For these reasons, Bayesian Model...

Persistent link: https://www.econbiz.de/10012123356

Exposure to international crises : trade vs. financial contagion

Grant, Everett - 2016

I identify new patterns in countries' economic performance over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country variation, I develop an open economy model with...

Persistent link: https://www.econbiz.de/10011975657

Commodity Prices Shocks and the Balance Sheet Effect in Latin America

Torres, Alejandro - 2018

price shock increases the firm's external debt and the cost of the new debt. In consequence,the aggregate investment … commodity price shock is negative. We also find that, turning the financial channel off, the real GDP cumulative response in …

Persistent link: https://www.econbiz.de/10012915986

The Global Dollar Cycle

Obstfeld, Maurice; Zhou, Haonan - National Bureau of Economic Research - 2023

The U.S. dollar's nominal effective exchange rate closely tracks global financial conditions, which themselves show a cyclical pattern. Over that cycle, world asset prices, leverage, and capital flows move in concert with global growth, especially influencing the fortunes of emerging and...

Persistent link: https://www.econbiz.de/10014247924

E Pluribus Plures : Shock Dependency of the USD Pass-Through to Real and Financial Variables

Minesso, Massimo Ferrari; Gräb, Johannes - 2022

in a panel of 34 countries. Pass-through coefficients are highly shock-dependent: if the appreciation is driven by a US … expansionary shock, the positive effects of stronger global demand - the “real” channel dominate the negative effects of a stronger … stock valuations up to 2.2 (2.5) and 8% (15%) respectively, while if the appreciation is driven by a monetary policy shock …

Persistent link: https://www.econbiz.de/10013403806