We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic...

We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply equations in a Bayesian structural panel...

We analyse the accuracy of an econometric model for nowcasting GDP growth in a true real-time setting. The analysis is based on a unique sample of nowcasts that were produced in real time and stored. Our results support the use of econometric models for nowcasting because the accuracy of these...

In this paper, we investigate the presence of non-linearities in the transmission of geopolitical risk (GPR) shocks. Our methodology involves incorporating a non-linear function of the identified shock into a VARX model and examining its impulse response functions and historical decomposition....

We estimate the macroeconomic effects of import tariffs and trade policy uncertainty in the United States, combining theory-consistent and narrative sign restrictions on Bayesian SVARs. We find mostly adverse consequences of protectionism. Tariff shocks are more important than trade policy...

We study the role of heterogeneity in the revenues of individual firms for euro area macroeconomic dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and an "heterogeneous VAR" (HVAR). The VAR model includes only aggregate data, while the HVAR...