This paper investigates the determinants of UK interest rates using a factor-augmented vector autoregression model (VAR), similar to the one suggested by Bernanke, Boivin and Eliasz (Quarterly Journal of Economics, Vol. 120 (2005), No. 1, pp. 387-422). The method allows impulse response...

This note presents a new structural factor-augmented vector error correction model approach to solve the limited information problem present in traditional vector error correction models. We apply this approach to the UK and obtain a reasonable characterization of the long-run equilibrium...

A growing literature has emerged to assess the importance and the channels of contagion during the recent currency crises which occured in the 1990s. However, little attention has been paid to the policy implications of the way to coordinate interventions in order to defend not only a single,...

A dynamic stochastic model of global equilibrium, where countries outside the US face higher risk than the US itself, predicts current account surpluses in the RoW and US deficits. With Loss Aversion, such precautionary savings can cause substantial ‘global imbalances’, particularly...