Sources of international business fluctuations: Country-specific shocks or worldwide shocks?

Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market

“…The reaction to domestic and foreign monetary surprises is mostly insignificant, except for a positive reaction on impact to monetary expansions during recessions indicating better firm prospects. 17 Finally, the tight links in the financial sector are 15 An ongoing debate is whether shocks of 'locomotive' countries are transmitted to smaller countries (as assumed here) or whether the countries are affected by common shocks (see, e.g., Kwark, 1999). 16 The stock market responses to domestic output shocks are the only ones that are sensitive to different model setups.…”

On the transmission of economic fluctuations from the USA to EU-15 (1960–2011)

“…Also, Artis, Galvao, and Marcellino (2003) provided evidence that, on average, 2/3 of the US shocks are transmitted to Europe. According to Canova and Marrinan (1998), Kwark (1999), Dassel (2002) and Eickmeier (2007) most of the US shocks are transmitted to the German economy. Pesaran, Schuermann, and Weiner, (2001) and Neri and Nobili (2006) found that EMU output is negatively affected by a decrease in the US interest rates in the short run, though positively affected in the medium run.…”

Monetary policy shocks in the euro area and global liquidity spillovers

“…Grilli and Roubini (1995) find some evidence of US being the leader internationally at the G7 level, while many applications for EU countries suggest that Germany has been, at least for the ERM-period, the European leader. 16 The vector of endogenous variables is as follows:…”