IDEAS home Printed from https://ideas.repec.org/a/bla/worlde/v37y2014i8p1101-1127.html
   My bibliography  Save this article

The Importance of Global Shocks for National Policymakers – Rising Challenges for Sustainable Monetary Policies

Author

Listed:
  • Joscha Beckmann
  • Ansgar Belke
  • Robert Czudaj

Abstract

type="main" xml:id="twec12127-abs-0001"> This paper analyses the importance of global shocks for the global economic developments and national policymakers from a novel perspective. On the one hand, we examine whether global factors convey additional information about monetary conditions not summarised by national aggregates. More specifically, we keep an eye on the question whether domestic monetary policies have become less effective in the wake of financial globalisation. We adopt a FAVAR framework to derive structural shocks on a worldwide level and their impact on other global and also national variables. We estimate our macromodel using quarterly data from Q1 1984 to Q4 2012 for the G7 countries plus the euro area. According to our results, global liquidity shocks significantly influence the global economy at the commodity price level. However, some other common shocks originating from house prices and GDP play a role at the global level as well.

Suggested Citation

  • Joscha Beckmann & Ansgar Belke & Robert Czudaj, 2014. "The Importance of Global Shocks for National Policymakers – Rising Challenges for Sustainable Monetary Policies," The World Economy, Wiley Blackwell, vol. 37(8), pages 1101-1127, August.
    • Handle: RePEc:bla:worlde:v:37:y:2014:i:8:p:1101-1127
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/twec.2014.37.issue-8
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Ansgar Belke & Thomas Osowski, 2019. "International Effects Of Euro Area Versus U.S. Policy Uncertainty: A Favar Approach," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 453-481, January.
    3. Belke, Ansgar & Dubova, Irina, 2018. "International spillovers in global asset markets," Economic Systems, Elsevier, vol. 42(1), pages 3-17.
    4. Ronald A. Ratti & Joaquin L. Vespignani, 2015. "What drives the global interest rate," Globalization Institute Working Papers 241, Federal Reserve Bank of Dallas.
    5. Uluc Aysun & Takeshi Yagihashi, 2019. "The common sources of business cycles in Trans‐Pacific countries and the US? A comparison with NAFTA," The World Economy, Wiley Blackwell, vol. 42(4), pages 1077-1109, April.
    6. Ansgar Belke, 2014. "Exit Strategies and Their Impact on the Euro Area – A Model Based View," ROME Working Papers 201401, ROME Network.
    7. Mikhail Stolbov, 2015. "Anatomy of international banking crises at the onset of the Great Recession," International Economics and Economic Policy, Springer, vol. 12(4), pages 553-569, October.
    8. Roy, Saktinil & Kemme, David M., 2020. "The run-up to the global financial crisis: A longer historical view of financial liberalization, capital inflows, and asset bubbles," International Review of Financial Analysis, Elsevier, vol. 69(C).
    9. Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
    10. Ansgar Belke & Florian Verheyen, 2014. "The Low-Interest-Rate Environment, Global Liquidity Spillovers and Challenges for Monetary Policy Ahead," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(2), pages 313-334, June.
    11. Belke, Ansgar & Rees, Andreas, 2014. "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 306-321.
    12. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
    13. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Oil prices and the economy: A global perspective," CAMA Working Papers 2014-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    14. Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "Oil prices and global factor macroeconomic variables," Energy Economics, Elsevier, vol. 59(C), pages 198-212.
    15. Selover, David D. & Yagihashi, Takeshi, 2015. "Examining industrial interdependence between Japan and South Korea: A FAVAR approach," Japan and the World Economy, Elsevier, vol. 36(C), pages 67-87.
    16. Ansgar Belke & Gunther Schnabl, 2015. "Exchange Rate Challenges in Emerging Markets and Developing Countries—Introduction," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 449-454, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:worlde:v:37:y:2014:i:8:p:1101-1127. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0378-5920 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.