The Transmission Mechanism in a Changing World

41 Pages Posted: 26 Sep 2003

See all articles by Michael J. Artis

Michael J. Artis

University of Manchester - Institute for Political & Economic Governance (IPEG)

Ana Beatriz Galvão

University of Warwick

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Date Written: August 2003

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: Transmission mechanism, shocks, cycles, Europe, impulse response, non-linear VAR

JEL Classification: C32, C53, E32

Suggested Citation

Artis, Michael J. and Galvão, Ana Beatriz and Marcellino, Massimiliano, The Transmission Mechanism in a Changing World (August 2003). Available at SSRN: https://ssrn.com/abstract=451340

Michael J. Artis (Contact Author)

University of Manchester - Institute for Political & Economic Governance (IPEG) ( email )

Oxford Road
Manchester, M13 9PL
United Kingdom

Ana Beatriz Galvão

University of Warwick ( email )

Coventry CV4 7AL
United Kingdom

Massimiliano Marcellino

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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