Browsing Discussion papers (SAM) by Subject "Spillovers, zero lower bound, globalization, mixture innovation models"

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    • Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model 

      Crespo Cuaresma, Jesus; Doppelhofer, Gernot; Feldkircher, Martin; Huber, Florian (DP SAM;31/2018, Working paper, 2018-12-21)
      This paper develops a global vector autoregressive (GVAR) model with time-varying parameters and stochastic volatility to analyze whether international spillovers of US monetary policy have changed over time. The proposed ...