Banbura, M., Giannone, D., Reichlin, L., 2010. Large Bayesian vector auto regressions. Journal of Applied Econometrics 25 (1), 71–92.
Banerjee, R., Devereus, M., Lombardo, G., 2015. Self-Oriented Monetary Policy, Global Financial Markets and Excess Volatility of International Capital Flows. NBER Working Paper 21737.
Barakchian, M., Crowe, C., 2013. Monetary Policy Matters: Evidence from New Shocks Data. Journal of Monetary Economics 60 (8), 950–966.
Bernanke, B., Boivin, J., Eliasz, P., 2005. Measuring the Effects of Monetary Policy: A FactorAugmented Vector Autoregressive (FAVAR) Approach. Quarterly Journal of Economics 120 (1), 387–422.
Bernanke, B., Kuttner, K., 2005. What Explains the Stock Market’s Reaction to Federal Reserve Policy? Journal of Finance 60 (3), 1221–1257.
Binder, M., Chen, Q., Zhang, X., 2010. On the Effects of Monetary Policy Shocks on Exchange Rates. CESifo Working Paper 3162.
Bjørnland, H., 2009. Monetary Policy and Exchange Rate Overshooting: Dornbusch Was Right After All. Journal of International Economics 79 (1), 64–77.
Bluedorn, J., Bowdler, C., 2011. The Open Economy Consequences of U.S. Monetary Policy. Journal of International Money and Finance 30 (2), 309–336.
Canova, F., 2005. The Transmission of US Shocks to Latin America. Journal of Applied Econometrics 20 (2), 229–251.
Canova, F., Ciccarelli, M., 2009. Estimating Multicountry VAR Models. International Economic Review 50 (3), 929–959.
Canova, F., Ciccarelli, M., 2013. Panel Vector Autoregressive Models: A Survey. CEPR Discussion Paper 9380.
Carabenciov, I., Freedman, C., Garcia-Saltos, R., Laxton, D., Kamenik, O., Manchev, P., 2013. GPM6 - The Global Projection Model with 6 Regions. IMF Working Paper 87.
Chen, Q., Filardo, A., He, D., Zhu, F., 2012. International Spillovers of Central Bank Balance Sheet Policies. In: for International Settlements, B. (Ed.), Are Central Bank Balance Sheets in Asia Too Large? Vol. 66 of BIS Papers Chapters. Bank for International Settlements, pp. 220–264.
Christiano, L. J., Eichenbaum, M., Evans, C. L., 2005. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy 113 (1), 1–45.
Chudik, A., Pesaran, M. H., 2011. Infinite-Dimensional VARs and Factor Models. Journal of Econometrics 163 (1), 4–22. Chudik, A., Straub, R., forthcoming. Size, Openness, and Macroeconomic Interdependence. International Economic Review.
Coenen, G., Wieland, V., 2002. Inflation Dynamics and International Linkages: A Model of the United States, the Euro Area and Japan. ECB Working Paper 0181.
Cushman, D., Zha, T., 1997. Identifying Monetary Policy in a Small Open Economy Under Flexible Exchange Rates. Journal of Monetary Economics 39 (3), 433–448.
- Dedola, L., Rivolta, G., Stracca, L., 2015. When the Fed Sneezes, Who Gets a Cold? mimeo.
Paper not yet in RePEc: Add citation now
Dovern, J., Feldkircher, M., Huber, F., 2015. Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR. Working Papers 200, Österreichische Nationalbank.
Eichenbaum, M., Evans, C., 1995. Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates. Quarterly Journal of Economics 110 (4), 975–1009.
Eickmeier, S., 2007. Business Cycle Transmission from the US to Germany: A Structural Factor Approach. European Economic Review 51 (3), 521–551.
Faust, J., Rogers, J., 2003. Monetary Policy’s Role in Exchange Eate Behavior. Journal of Monetary Economics 50 (7), 1403–1424.
Faust, J., Rogers, J., Swanson, E., Wright, J., 2003. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data. Journal of the European Economic Association 1 (5), 1031–1057.
Feldkircher, M., Huber, F., 2015. The International Transmission of US Structural Shocks: Evidence from Global Vector Autoregressions. European Economic Review 81, 167–188.
Forni, M., Gambetti, L., 2014. Sufficient Information in Structural VARs. Journal of Monetary Economics 66 (C), 124–136.
Giannone, D., Reichlin, L., 2006. Does Information Help Recovering Structural Shocks from Past Observations? Journal of the European Economic Association 4 (2-3), 455–465.
Goldberger, A., 1972. Structural Equation Methods in the Social Sciences. Econometrica 40 (6), 979–1001.
Gross, M., 2013. Estimating GVAR Weight Matrices. ECB Working Paper 1523.
- Ilzetzki, E., Jin, K., 2013. The Puzzling Change in the International Transmisison of U.S. Macroeconomic Policy Shocks. mimeo, London School of Economics.
Paper not yet in RePEc: Add citation now
Jannsen, N., Klein, M., 2011. The International Transmission of Euro Area Monetary Policy Shocks. Kiel Institute for the World Economy Working Paper 1718.
Jorda, O., 2005. Estimation and Inference of Impulse Responses by Local Projections. American Economic Review 95 (1), 161–182.
Kim, S., 2001. International Transmission of U.S. Monetary Policy Shocks: Evidence from VAR’s. Journal of Monetary Economics 48 (2), 339–372.
Kim, S., Roubini, N., 2000. Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach. Journal of Monetary Economics 45 (3), 561–586.
- Kim, S., Shin, H., 2015. Transmission Channels of Global Liquidity. mimeo.
Paper not yet in RePEc: Add citation now
Klein, M., Shambaugh, J., 2006. Fixed Exchange Rates and Trade. Journal of International Economics 70 (2), 359–383.
Kucharcukova, O., Claeys, P., Vasicek, B., 2014. Spillover of the ECB’s Monetary Policy Outside the Euro Area: How Different is Conventional From Unconventional Policy? Czech National Bank Working Paper 2014/15.
Lane, P. R., Milesi-Ferretti, G. M., 2007. The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004. Journal of International Economics 73 (2), 223–250.
- Lütkepohl, H., 2007. New Introduction to Multiple Time Series Analysis. Springer.
Paper not yet in RePEc: Add citation now
MacKinnon, J., 1994. Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests. Journal of Business & Economic Statistics 12 (2), 167–76.
- Mackowiak, B., 2007. External Shocks, US Monetary Policy and Macroeconomic Fluctuations in Emerging Markets. Journal of Monetary Economics 54 (8), 2512–2520.
Paper not yet in RePEc: Add citation now
Mumtaz, H., Surico, P., 2009. The Transmission of International Shocks: A FactorAugmented VAR Approach. Journal of Money, Credit and Banking 41 (1), 71–100.
Nobili, A., Neri, S., 2006. The Transmission of Monetary Policy Shocks from the US to the Euro Area. Bank of Italy Temi di Discussione 606.
Pesaran, M., Schuermann, T., Weiner, S. M., 2004. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model. Journal of Business & Economic Statistics 22 (2), 129–162.
Romer, C., Romer, D., 2004. A New Measure of Monetary Shocks: Derivation and Implications.
Rose, A., Spiegel, M., 2011. Cross-Country Causes and Consequences of the Crisis: An Update. European Economic Review 55 (3), 309–324.
Sims, C., Zha, T., 2006. Does Monetary Policy Generate Recessions? Macroeconomic Dynamics 10 (02), 231–272.
Smets, F., Wouters, R., 2007. Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. American Economic Review 97 (3), 586–606.
Stock, J., Watson, M., 2005. Implications of Dynamic Factor Models for VAR Analysis. NBER Working Paper 11467.
Vitek, F., 2014. Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach 14/200.
Voss, G., Willard, L., 2009. Monetary Policy and the Exchange Rate: Evidence from a Twocountry Model. Journal of Macroeconomics 31 (4), 708–720.
Zellner, A., Palm, F., 1974. Time Series Analysis and Simultaneous Equation Econometric Models. Journal of Econometrics 2 (1), 17–54. A Tables