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The transmission mechanism in a changing world

  • Ana Beatriz Galv�o

    (Bank of Portugal, Portugal)

  • Michael Artis

    (University of Manchester and CEPR, London, UK,)

  • Massimiliano Marcellino

    (Bocconi University, IGIER and CEPR, Milan, Italy)

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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File URL: http://hdl.handle.net/10.1002/jae.923
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 22 (2007)
Issue (Month): 1 ()
Pages: 39-61

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Handle: RePEc:jae:japmet:v:22:y:2007:i:1:p:39-61
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  15. Tilak Abeysinghe & Kristin J. Forbes, 2001. "Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia," NBER Working Papers 8600, National Bureau of Economic Research, Inc.
  16. Filippo Altissimo & Giovanni L. Violante, 2001. "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
  17. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
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