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Author:Bussiere, Matthieu 

Working Paper
Modelling global trade flows: results from a GVAR model
This paper uses a Global Vector Auto-Regression (GVAR) model featuring 21 emerging market and advanced economies to investigate the factors behind the dynamics of global trade flows, with a particular view on the issue of global trade imbalances and on the conditions of their unwinding. The GVAR approach enables us to make two key contributions: first, to model international linkages among a large number of countries, which is a key asset given the diversity of countries and regions involved in global imbalances, and second, to model exports and imports jointly. The latter proves to be very important due to the internationalization of production chains. The model can be used to gauge the effect on trade flows of various scenarios, such as an output shock in the United States, a shock to the US real effective exchange rate and shocks to foreign (e.g., German and Chinese) variables. Results indicate that changes in domestic and foreign demand have a much stronger effect on trade flows than changes in relative trade prices. In addition, we show how the model can be used to monitor trade developments, with an application to the Great Trade Collapse.
AUTHORS: Chudik, Alexander; Sestieri, Giulia; Bussiere, Matthieu
DATE: 2012

Journal Article
Economic shocks reverberate in world of interconnected trade ties
As the world economy slowly recovers from the Great Recession and global trade flows remain weak, net trade contributions to domestic growth become more critical.
AUTHORS: Chudik, Alexander; Bussiere, Matthieu; Sestieri, Giulia
DATE: 2013

Journal Article
The euro and global turbulence: member countries gain stability
The pattern of adjustment of euroarea countries? external competitiveness to dollar and risk aversion shocks has become more similar since the euro?s creation.
AUTHORS: Chudik, Alexander; Mehl, Arnaud; Bussiere, Matthieu
DATE: 2013

Working Paper
How have global shocks impacted the real effective exchange rates of individual Euro area countries since the Euro's creation?
This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union (EMU), a largely open ended question when the euro was created. We apply to that end a newly developed methodology based on high dimensional VAR theory. This approach features a dominant unit to a large set of over 60 countries' real effective exchange rates and is based on the comparison of two estimated systems: one before and one after EMU. ; We find strong evidence that the pattern of responses depends crucially on the nature of global shocks. In particular, post-EMU responses to global US dollar shocks have become similar to Germany's response before EMU, i.e. to that of the economy that used to issue Europe's most credible legacy currency. ; By contrast, post-EMU responses of euro area countries to global risk aversion shocks have become similar to those of Italy, Portugal or Spain before EMU, i.e. of economies of the euro area's periphery. Our findings also suggest that the divergence in external competitiveness among euro area countries over the last decade, which is at the core of today's debate on the future of the euro area, is more likely due to country-specific shocks than to global shocks.
AUTHORS: Chudik, Alexander; Mehl, Arnaud; Bussiere, Matthieu
DATE: 2011

Report
The international transmission of monetary policy
This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential micro-banking data for the years 2000 through 2015 to explore the international transmission of monetary policies of the United States, the euro area, Japan, and the United Kingdom. Two other studies use international data with different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U.S. policies, and bank-specific heterogeneity influences the magnitudes of transmission. The effects are supportive of the international bank lending channel and the portfolio channel of monetary policy transmission. They also show that the frictions that banks face matter; in particular, foreign currency funding and hedging considerations can be a key source of heterogeneity. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into nonbank lending generally are not large.
AUTHORS: Buch, Claudia M.; Bussiere, Matthieu; Goldberg, Linda S.; Hills, Robert
DATE: 2018-03-01

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