The transmission mechanism in a changing world

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

No ECO2003/18, Economics Working Papers from European University Institute

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 e.ect of a US shock. More generally, the models have a good forecasting performance over short horizons.

JEL-codes: C32 C53 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn, nep-mfd and nep-mon
Date: 2003
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Related works:
Working Paper: The Transmission Mechanism in a Changing World (2003)
Journal Article: The transmission mechanism in a changing world (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:eui:euiwps:eco2003/18

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