Economics at your fingertips  

The International Transmission of U.S. Structural Shocks – Evidence from Global Vector Autoregressions

Martin Feldkircher and Florian Huber

Working Papers from Oesterreichische Nationalbank (Austrian Central Bank)

Abstract: In this paper we analyze the impact of three U.S. structural shocks on, and its transmission 0to, the world economy. For that purpose we use a Bayesian version of the global vector autoregressive (GVAR) model coupled with a prior specification that explicitly treats uncertainty regarding variable choice in the estimation stage of the model. Based on sign restrictions, we identify positive U.S. aggregate demand and supply shocks and a contractionary U.S. monetary policy shock. Our results are three-fold: First, we find significant spillovers of U.S. based shocks on the global economy. Responses of international output to a U.S. monetary policy shock are most pronounced, while those related to aggregate demand and supply shocks are more modest. Second, the dynamics of the receiving countries’ responses depend on the structural interpretation of the respective shock. More specifically, whereas responses to the U.S. demand shock are rather short-lived, the remaining shocks produce spillovers that impact permanently on domestic output. Third, U.S. shocks tend to spread globally through interest rates which resembles the pivotal role of the economy in shaping international financial markets. Co-movements in output and indirect effects via the oil price are additional important channels through which U.S. shocks feed into the domestic economy.

Keywords: Transmission of external shocks; Global vector autoregressions; stochastic search variable selection; sign restrictions; model uncertainty (search for similar items in EconPapers)
JEL-codes: C30 E32 E52 F41 (search for similar items in EconPapers)
Pages: 41
Date: 2014-07-04
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link) ... per%20195_screen.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden ( [303 See Other]-->

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from
Oesterreichische Nationalbank, Economic Studies Division, POB 61, A-1011 Vienna, Austria

The price is The price is Free subject to availability..

Access Statistics for this paper

More papers in Working Papers from Oesterreichische Nationalbank (Austrian Central Bank) P.O. Box 61, A-1011 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Markus Knell ().

Page updated 2022-09-28
Handle: RePEc:onb:oenbwp:195