VECTOR autoregression modelBAYESIAN analysisMACROECONOMIC modelsUNIVARIATE analysisCOEFFICIENTS (Statistics)Summary This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a set of hierarchical ...
In this paper, we try to tackle this issue by means of a Global Vector Autoregressive (GVAR) model. We first examine the short-run inflationary effects of oil and food price shocks on a given set of countries. Secondly, we assess the importance of inflation linkages among countries, by ...
Financial marketsThis paper investigates the impacts of conventional and unconventional US monetary policies on global financial markets, using the global vector autoregressive (GVAR) model from 2004 through 2017. The impulse response results suggest unconventional easing had little effect on stock prices ...
anchoring of inflation expectationsIn this paper we investigate dynamics of global inflation and short-run inflation expectations. We estimate a global vector autoregressive (GVAR) model estimatedoi:10.2139/ssrn.3288189Feldkircher, MartinSiklos, Pierre L.Social Science Electronic Publishing...
George, E.I., Sun, D. and S. Ni (2008) Bayesian stochastic search for var model restrictions.Journal of Econometrics, Vol. 142, pp. 553-580. Huber, F. and M. Feldkircher (2016) Adaptive Shrinkage in Bayesian Vector Autoregressive Models.Journal of Business and Economic Statistics, Vol....
Define global village. global village synonyms, global village pronunciation, global village translation, English dictionary definition of global village. n. The world considered as a single community in which telecommunications link the inhabitants toge
Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for firm-level Expected Default Frequencies (EDFs) we show that, at the aggregate level, the median EDFs react most to shocks to GDP, exchange rate, oil prices and equity prices. Intuitive ...
Specifically, we propose a new econometric model that extends the global vector autoregressive (GVAR) framework to estimate the global impacts of an increase in the volatility of US monetary policy shocks. The model has two distinguishing features. First, the volatility of structural shocks in the ...
We use a global vector autoregressive (GVAR) model as it allows to consider trade interactions as well as financial linkages through interest rates, stock prices, and exchange rates. Our results indicate that the shock spillovers from China have become more pronounced over the past two decades. ...
To this end a global vector autoregressive (GVAR) model previously estimated over the 19... MH Pesaran,T Schuermann,LV Smith - 《Cesifo Working Paper》 被引量: 0发表: 2008年 Market Timing and Return Predictability under Model Instability Despite mounting empirical evidence to the contrary, the...