Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB s OMT Program [PDF]
, 2014 This paper explores the potential effectiveness of the ECB s Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission.
Hristov, Nikolay +3 more
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Frontiers in Sustainable Food SystemsIn recent years, the high-frequency abnormal price fluctuations of small-scale agricultural products have been detrimental to market stability. The traditional method based on statistical data of production factors can no longer accurately predict ...
Lifang Fu, Huaxu Zhang
doaj +1 more source
Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. [PDF]
Financ Res Lett, 2023 Huang J, Chen B, Xu Y, Xia X.
europepmc +1 more source
A time-varying parameter vector autoregression model for forecasting emerging market exchange rates [PDF]
, 2010 In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed.
Kumar, Manish
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Dynamic interlinkages between the crude oil and gold and stock during Russia-Ukraine War: evidence from an extended TVP-VAR analysis. [PDF]
Environ Sci Pollut Res Int, 2023 Ha LT.
europepmc +1 more source
Are there Differences in the Effectiveness of Quantitative Easing in Japan over Time? [PDF]
, 2014 Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to
Michaelis, Henrike, Watzka, Sebastian
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The Jump Linkage Between International Dry Bulk Forward Freight Markets Based on SVCJ-TVP-VAR Model
Haiyang Kaifa yu guanli, 2023 In order to explore the risk linkage between different forward freight markets, this paper used the SVCJ-TVP-VAR model, selected the forward freight agreement (FFA) daily data of three ship types from 2014 to 2020, and analyzed the dynamic relationship ...
Hui ZHANG
doaj
An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis. [PDF]
Technol Forecast Soc Change, 2022 Ha LT, Nham NTH.
europepmc +1 more source
Transmission of government spending shocks in the euro area: Time variation and driving forces [PDF]
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold.
Cimadomo, Jacopo +2 more
core
Exchange rate predictability and dynamic Bayesian learning [PDF]
, 2017 This paper considers how an investor in foreign exchange markets might exploit predictive information in macroeconomic fundamentals by allowing for switching between multivariate time series regression models.
Beckmann, J +3 more
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