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The transmission mechanism in a changing world
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Artis, Michael, Galvão, Ana Beatriz and Marcellino, Massimiliano (2007) The transmission mechanism in a changing world. Journal of Applied Econometrics, 22 (1). pp. 39-61. doi:10.1002/jae.923 ISSN 0883-7252.
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Official URL: http://dx.doi.org/10.1002/jae.923
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.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Journal of Applied Econometrics | ||||
| Publisher: | Wiley-Blackwell Publishing, Inc | ||||
| ISSN: | 0883-7252 | ||||
| Official Date: | January 2007 | ||||
| Dates: |
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| Volume: | 22 | ||||
| Number: | 1 | ||||
| Page Range: | pp. 39-61 | ||||
| DOI: | 10.1002/jae.923 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published |
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