Using a small VAR of the current account and investment, we identify two categories of shocks: permanent vs. transitory and country-specific vs. global. Our approach involves only the most minimal identifying assumption. Using data from the G7n countries, we find that the predictions of the...

This paper deals with the existence of a common European growth cycle and its identification. Based on the analysis of some descriptive statistics in the time and frequency domain there is clear evidence of comovement in output growth among European countries.

This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly...

We propose a simple intertemporal model of output and current account dynamics that we estimate using a cointegrated VAR approach. We suggest a method for identifying global and country-specific shocks from the VAR and test it, using cross-country evidence.

The ECB formulates its policy relying on two-pillars: the monetary pillar and alternative models of inflation. The two-pillars strategy has been seriously criticized and there is a chance that it will be reconsidered at some point in the future. This paper elaborates on this possibility,...

This paper investigates an array of nominal systems for the Russian economy, of domestic price level, import prices, exchange rates, money stock, barter, nominal wages, and output, and conducts I(1) and I(2) cointegration analyses. Post-stabilization monthly data are used, 1995:6-2001:5. The...

This paper is part of a larger project that questions the common notion of similarity in the Polish and Russian stabilization programs, which clearly brought about different results. It investigates an array of nominal systems for the Polish economy, of domestic price level, import prices,...

A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to...

Using business survey data on German manufacturing firms, this paper provides tests for hypotheses that predict distributrional effects in the transmission mechanism of monetary policy. Effects of monetary policy shocks on the business conditions of firms of several size classes are analysed,...

The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables such as money supplies, interest...