The international transmission of US shocks—Evidence from Bayesian global vector autoregressions

By Martin Feldkircher, Florian Huber. 2016

167 citations recorded by the source corpus.

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).

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1536caa95aab7ff712538c58c9624a21fe3189ba

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Citations in the corpus

Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries (2016, background): “…the effects of UMP measures undertaken by central banks in other advanced economies: for instance, Krishnamurthy and Vissing-Jorgensen (2013) and Feldkircher and Huber (2016b) for the US, Kapetanios et al. (2012) for the UK, Schenkelberg and Watzka (2013) for Japan, while Baumeister and Benati…”
Model Averaging and Its Use in Economics (2017, methodology): “Indeed, Fernández et al. (2001a) suggest the use of the correlation between posterior model probabilities based on i) and ii) as an indicator of convergence of the chain.”