Article2007

The transmission mechanism in a changing world

Michael J. Artis · Ana Beatriz Galvão · Massimiliano Giuseppe Marcellino

52 citations0/0 files storedJournal of Applied Econometrics

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Market Dynamics and Volatility

Abstract

Abstract The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European economies. These factors are identified through the use of generalized impulse response functions conditioned on histories defined by an abrupt transition VAR. The chosen transition variables comprise changes in exchange rates, financial prices, international capital flows, trade links and monetary policy instruments. Besides the identification of asymmetric responses, the proposed model is useful in analyzing the strong effect of the recent US recession on the European economies and changes in business cycle synchronization over time. Copyright © 2007 John Wiley & Sons, Ltd.

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1998Generalized impulse response analysis in linear multivariate models 1994Comparing Predictive Accuracy 1996Impulse response analysis in nonlinear multivariate models 1998The Endogenity of the Optimum Currency Area Criteria 1997Testing the equality of prediction mean squared errors 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US 2006Tests of Conditional Predictive Ability

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