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I appreciate helpful comments from Robert Burgess, Ulric Erickson von Allmen, Meshach Aziakpono, Wasima Rahman-Garrett, and Pedro Rodriguez. Sarika Chinta provided editorial assistance for which I am grateful.
For example, see Merrill Lynch’s 2007 Global Economics Report titled “Global Decoupling: A Marathon, Not a Sprint”.
See Peter Schiff’s write-up in The Money Map Report (http://crashproofportfolio.com/archives/dollar/)
These include Jim Rogers (cofounder - with George Soros- of Quantum Fund), Jonathan Garner (head of Global Markets Equity Strategy, at Morgan Stanley), Jim O’Neill (head of Global Economic Research for Goldman Sachs), Joseph Quinlan (Chief Market Strategist, Bank of America Capital Management), and Ralph Wiechers (Chief Economist, German Engineering Federation).
See Business Week Magazine, March 20, 2008. Weblink: http://www.businessweek.com/globalbiz/content/mar2008/gb20080320_277085.htm
The National Bureau of Economic Research (NBER) announced this date as the end of a 73-month expansion and the beginning of a recession in the US economy.
These banks made huge losses from the crisis and had to either declare bankruptcy (Lehman Brothers), be sold (Bear Sterns, Merrill Lynch, Wachovia), or bailed out again and again by the US government (AIG). Others (Goldman Sachs, JP Morgan Chase, etc) survived but not without scars.
I have used PPP-implied exchange rates because market exchange rates are mostly based on short-term factors and are susceptible to significant distortions from speculative activities and government interventions. More also, PPP-implied exchange rates better reflect a country’s ability to export its products as it captures domestic cost considerations associated with tradable goods.
Data for the EU covers the EU-15 countries including Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal, Spain, Sweden, and the UK.
See appendix for results of the exogeneity tests, which show that US GDP growth is the most exogenous of all four variables in the VAR.
All models were estimated using Eviews 6.0 version.
Although our results point to two lags, I will try to use four lags too for sensitivity. In addition to being the logical choice for quarterly data, using four lags is also consistent with the specifications in Stock and Watson (2005), and Perez, et al (2007)
Given that these channels are quantified using this difference methodology, their sum is not constrained equal the estimates of aggregate spillovers coming from the base VAR. As Bayoumi and Swiston (2007) alludes, this “independent” approach to identifying the sources of spillovers provides an alternative estimate on the size of overall spillovers, which can be compared to the main results.
I have used this as a proxy for short term interest rates given that my inability to obtain an unbroken series of an anchor short term interest in Nigeria. On December 11, 2006, the central bank of Nigeria announced its adoption of the Monetary Policy Rate (MPR) to replace the Minimum Rediscount Rate (MRR).