Results 121 to 130 of about 2,848 (204)
Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness
MathematicsThis study aims to reveal the network connectedness between the volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with the frequency-based TVP-VAR connectedness approach. Connectedness results were obtained in short (1–5 days) and long (5-inf) period frequencies among the volatilities obtained with the Garman–Klass ...
Yakup Ari, Hakan Kurt, Harun Uçak
openaire +2 more sources
Essays on fiscal coordination in the EMU [PDF]
, 2017 The recent crisis has shed light on the weaknesses and the drawbacks of the European Monetary Union. In particular, many economists and commentators have suggested the need to complement the existing common monetary policy and stability pacts with ...
Milano, Valentina
core
VAR Forecasting Using Bayesian Variable Selection [PDF]
This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and ...
Dimitris Korobilis
core
Financial InnovationThis study utilizes two complementary models, the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz (TVP-VAR-DY) and the Time-Varying Parameter Vector Autoregressive Baruník–Křehlík (TVP-VAR-BK), to investigate the dynamic volatility ...
Farzaneh Ahmadian-Yazdi +3 more
doaj +1 more source
Technology news and the U.S. economy: Time variation and structural changes [PDF]
This paper examines the time varying impact of technology news shocks on the U.S. economy during the Post-World War II era using a structural time varying parameter vector autoregressive (TVP-VAR) model.
Berg, Tim Oliver
core +1 more source
Are there Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound 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
core
, 2014 This paper aims to shed light on the role of credit supply shocks in euro area countries during the recent pre-crisis, bust, and post-crisis periods. A time-varying parameter vector autoregression (TVP-VAR) with stochastic volatility à la Primiceri (2005)
Bijsterbosch, Martin, Falagiarda, Matteo
core
Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises [PDF]
, 2016 We empirically analyze asset price boom-bust cycles over a long-run period of 1896-2014 for the U.S., the Netherlands, Norway and Sweden. We focus on macro-financial linkages to understand if these are common phenomena during financial crises, or if the ...
Punzi, Maria Teresa
core
Dynamic probabilities of restrictions in state space models: An application to the Phillips curve [PDF]
Empirical macroeconomists are increasingly using models (e.g. regressions or Vector Autoregressions) where the parameters vary over time. State space methods are frequently used to specify the evolution of parameters in such models.
Gary Koop +2 more
core
Navigating APEC Countries: TVP-VAR Insights into Developed and Emerging Stock Markets
International Journal of Accounting, Business and FinanceThe interdependence of stock markets provides important discernment into the behavior of the larger international financial markets. This study investigates magnitude and directional volatility spillover patterns among developed and emerging countries within the APEC bloc, utilizing the TVP-VAR model.
Parminder Kaur Bajaj +2 more
openaire +1 more source