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The Transmission Mechanism in a Changing World

Michael John Artis, Ana Beatriz Galvão () and Massimiliano Marcellino

No 4014, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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
Date: 2003-08
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Journal Article: The transmission mechanism in a changing world (2007) Downloads
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