Showing results 1 to 2 of approximately 2.(refine search)
Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors
We study the construction of nonlinear impulse responses in structural dynamic models that include nonlinearly transformed regressors. Such models have played an important role in recent years in capturing asymmetries, thresholds and other nonlinearities in the responses of macroeconomic variables to exogenous shocks. The conventional approach to estimating nonlinear responses is by Monte Carlo integration. We show that the population impulse responses in this class of models may instead be derived analytically from the structural model. We use this insight to study under what conditions ...
Foreign Effects of Higher U.S. Interest Rates
This paper analyzes the spillovers of higher U.S. interest rates on economic activity in a large panel of 50 advanced and emerging economies. We allow the response of GDP in each country to vary according to its exchange rate regime, trade openness, and a vulnerability index that includes current account, foreign reserves, inflation, and external debt. We document large heterogeneity in the response of advanced and emerging economies to U.S. interest rate surprises. In response to a U.S. monetary tightening, GDP in foreign economies drops about as much as it does in the United States, with a ...