This paper reviews the evolution of China''s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...

"We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries,...

Applying a proposed spillover index of high-dimensional generalized VAR framework, this paper, for the first time, explores housing price spillovers among 69 large- and medium-sized Chinese cities from July 2005 to June 2015. We find that city-level monthly housing prices in China are highly...