How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques. [PDF]
Resour Policy, 2021 Adekoya OB, Oliyide JA.
europepmc +1 more source
The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis [PDF]
In this paper, we explore the effects of the Bank of Japan's ( BOJ's) policy commitment under zero interest rates on the economy, by considering the transmission channel of altering private-sector expectations.
Jouchi Nakajima +2 more
core
Bayesian Inference in the Time Varying Cointegration Model [PDF]
There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration ...
Gary Koop +2 more
core +3 more sources
Central Bank ReviewThis study investigates time and frequency connectedness between monetary policy in the US and 7 African countries to determine the extent to which US monetary policy influences policy conduct amongst African Central Banks.
Clement Moyo, Andrew Phiri
doaj +1 more source
Dynamic risk spillover between exchange rates, stocks, housing, and gold coin in Iran: New evidence from the comparison between sanctions and non-sanctions periods [PDF]
راهبرد مدیریت مالیThe relationship between the exchange rate, stock price, housing, and coin as the items considered by the investor for portfolio management has always been a complex discussion, and the relationship between them and determining the cause of the transfer ...
Soheil Roudari +3 more
doaj +1 more source
Carbon Market Efficiency and Economic Policy Uncertainty: Evidence from a TVP‐VAR Model
Discrete Dynamics in Nature and SocietyThis paper examines the dynamic linkages among economic policy uncertainty (EPU), the green bond market, the carbon market, and the macroeconomy using the time‐varying parameter vector autoregressive (TVP‐VAR) model with monthly data spanning from January 2016 to December 2021.
Min Liu, Ruixin Huang, Lu Yang
openaire +2 more sources
Using time-varying VARs to diagnose the source of ‘Great Moderations’: a Monte Carlo analysis [PDF]
In this paper, we assess the ability of time-varying VAR models to correctly diagnose the source of ‘Great Moderations’ generated in simulations of a learning model. We find that, in general, they can.
Haroon Mumtaz +2 more
core
Private Debt Overhang and the Government Spending Multiplier: Evidence for the United States [PDF]
, 2015 Using state-dependent local projection methods and historical U.S. data, we find that government spending multipliers are considerably larger in periods of private debt overhang. In particular, we find significant crowding-out of personal consumption and
Bernardini, Marco, Peersman, Gert
core
Have we underestimated the likelihood and severity of zero lower bound events? [PDF]
Before the recent recession, the consensus among researchers was that the zero lower bound (ZLB) probably would not pose a significant problem for monetary policy as long as a central bank aimed for an inflation rate of about 2 percent; some have even ...
David Reifschneider +3 more
core
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics [PDF]
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility).
Koop, Gary, Korobilis, Dimitris
core +1 more source