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Identifying the global transmission of the 2007 - 09 financial crisis in a GVAR Model

Chudik, Alexander; Fratzscher, Marcel - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10008901498

Monetary policy transmission over the leverage cycle : evidence for the euro area

Bräuer, Leonie; Rünstler, Gerhard - 2020

We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area …

Persistent link: https://www.econbiz.de/10012241107

The simpler the better : measuring financial conditions for monetary policy and financial stability

Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2020

In this paper we assess the merits of financial condition indices constructed using simple averages versus a more sophisticated alternative that uses factor models with time varying parameters. Our analysis is based on data for 18 advanced and emerging economies at a monthly frequency covering...

Persistent link: https://www.econbiz.de/10012259350

Does the euro make a difference? : spatio-temporal transmission of global shocks to real effective exchange rates in an infinite VAR

Bussière, Matthieu; Chudik, Alexander; Mehl, Arnaud - 2011

This paper provides evidence on whether the creation of the euro has changed the way global turbulences affect euro … area and other economies. Specifically, it considers the impact of global shocks on the competitiveness of individual euro … over 60 countries.real effective exchange rates, including those of the individual euro area economies, and compares …

Persistent link: https://www.econbiz.de/10008901483

Global risk and the dollar

Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021

How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They...

Persistent link: https://www.econbiz.de/10012705529

Measuring contagion potential among sovereigns and banks using a Mixed-Cross-Section GVAR

Groß, Marco; Kok Sørensen, Christoffer - 2013

Persistent link: https://www.econbiz.de/10010195503

Spillovers among sovereign debt markets : identification by absolute magnitude restrictions

De Santis, Roberto A.; Zimic, Srečko - 2017

large size of shocks from euro area stressed countries, connectedness among sovereign yields declined between 2008 and 2012 …

Persistent link: https://www.econbiz.de/10011647980

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10003973331

External shocks and international inflation linkages : a global VAR analysis

Galesi, Alessandro; Lombardi, Marco - 2009

Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...

Persistent link: https://www.econbiz.de/10003867024

Modelling global trade flows : results from a GVAR model

Bussière, Matthieu; Chudik, Alexander; Sestieri, Giulia - 2009

This paper uses a Global Vector Auto-Regression (GVAR) model in a panel of 21 emerging market and advanced economies to investigate the factors behind the dynamics of global trade flows, with a particular view on the issue of global trade imbalances and on the conditions of their unwinding. The...

Persistent link: https://www.econbiz.de/10003963758