Quotation Feldkircher, Martin and Huber, Florian. 2016. The international transmission of US shocks: Evidence from Bayesian global vector autoregressions. European Economic Review 81 S. 167-188.


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Abstract

Abstract We analyze international spillovers of expansionary US aggregate demand and supply shocks, and of a contractionary US monetary policy shock. For that purpose we use a Bayesian version of the global vector autoregressive model coupled with a prior specification that explicitly accounts for uncertainty regarding variable choice. Our results are three-fold: first, we find significant spillovers of all three shocks, with the monetary policy shock impacting most strongly on international output. Second, the dynamics of the receiving countries׳ responses depend on the structural interpretation of the respective shock. Third, \{US\} shocks tend to spread globally through the financial channel (i.e., interest rates) and the trade channel (i.e., the real effective exchange rate).

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal European Economic Review
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, VW-A, WH-B
Language English
Title The international transmission of US shocks: Evidence from Bayesian global vector autoregressions
Volume 81
Year 2016
Page from 167
Page to 188
Reviewed? Y
URL http://www.sciencedirect.com/science/article/pii/S0014292115000100
DOI http://dx.doi.org/10.1016/j.euroecorev.2015.01.009

Associations

People
Feldkircher, Martin (Former researcher)
Huber, Florian (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Institute for Macroeconomics IN (Details)
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