The Transmission Mechanism in a Changing World
Ana Galvão () and
No 4014, CEPR Discussion Papers from C.E.P.R. Discussion Papers
This Paper aims at improving the understanding of the transmission of shocks across countries and how this transmission may have changed over time. By employing a model that allows for parameter changes across regimes, we show that transmission of shocks from the US to European countries may depend on the values of transition variables such as financial prices, exchange rates, international capital flows, trade links and monetary policy instruments. We also show that transmission mechanisms estimated with the proposed models have good performance in describing the 2001 downturn in some European countries as an effect of a US shock. More generally, the models have a good forecasting performance over short horizons.
Keywords: cycles; europe; impulse response; non-linear VAR; shocks; transmission mechanism (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn and nep-mon
References: View complete reference list from CitEc
Citations View citations in EconPapers (15) Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at firstname.lastname@example.org
Journal Article: The transmission mechanism in a changing world (2007)
Working Paper: The transmission mechanism in a changing world (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:cpr:ceprdp:4014
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=4014
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ..
Series data maintained by ().