Generalized impulse response analysis in linear multivariate models
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Publication:1128549
DOI10.1016/S0165-1765(97)00214-0zbMATH Open0903.90028MaRDI QIDQ1128549FDOQ1128549
Authors: M. Hashem Pesaran, Yongcheol Shin 
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
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- Impulse response analysis of cointegrated systems
- Cointegration and speed of convergence to equilibrium
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- Bootstrapping impulse responses in VAR analyses
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- Oil prices and economic activity in BRICS and G7 countries
- The uncertainty multiplier and business cycles
- The effect of monetary and fiscal credibility on exchange rate pass-through in an emerging economy
- Impulse response analysis in conditional quantile models with an application to monetary policy
- Non performing loans (NPLs) in a crisis economy: long-run equilibrium analysis with a real time VEC model for Greece (2001--2015)
- Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?
- Assessing the connectedness between proof of work and proof of stake/other digital coins
- Stock market uncertainty and economic fundamentals: an entropy-based approach
- Are generalized spillover indices overstating connectedness?
- Return and volatility spillovers among cryptocurrencies
- Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
- Macroeconomic environment, money demand and portfolio choice
- Can world real interest rates explain business cycles in a small open economy?
- Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms
- Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
- The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997
- Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
- Cross-category, trans-pacific spillovers of policy uncertainty and financial market volatility
- Speed of adjustment in cointegrated systems
- Multivariate quantile impulse response functions
- Local projections and VARs estimate the same impulse responses
- Interest rate swaps and the transmission mechanism of monetary policy: a quantile connectedness approach
- Debt dynamics in Europe: a network general equilibrium GVAR approach
- Improved GMM estimation of panel VAR models
- Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?
- Absorption of shocks in nonlinear autoregressive models
- The Brexit impact on European market co-movements
- An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
- The macro and asset pricing implications of rising Italian uncertainty: evidence from a novel news-based macroeconomic policy uncertainty index
- The law of one food price
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- Coherence, connectedness, dynamic linkages among oil and China's sectoral commodities with portfolio implications
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- Generalized impulse response analysis in a fractionally integrated vector autoregressive model
- Signs of impact effects in time series regression models
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
- Sovereign bond market shock spillover over different maturities: a journey from normal to Covid-19 period
- High-dimensional VARs with common factors
- The spillover effect of euro area on central and southeastern European economies: a global VAR approach
- Moments, shocks and spillovers in Markov-switching VAR models
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- The long-run determinants of fertility: one century of demographic change 1900--1999
- Mapping out network connections between residential property markets
- Beyond spreads: measuring sovereign market stress in the Euro area
- On the past, present, and future of the Diebold-Yilmaz approach to dynamic network connectedness
- Technological leaders, laggards and spillovers: a network GVAR analysis
- Linearly transforming variables in the VAR model, how does it change the impulse response?
- PPP in OECD countries: an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks
- The transfer problem in the euro area
- In search of a new economic model determined by logistic growth
- Dynamic industry uncertainty networks and the business cycle
- Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
- Impulse transfer matrix of a time-varying system of differential-algebraic equations
- Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies
- Vector error correction models to measure connectedness of bitcoin exchange markets
- Large Spillover Networks of Nonstationary Systems
- Bayesian Dynamic Tensor Regression
- Model-based approach for scenario design: stress test severity and banks' resiliency
- Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms
- Supply chains and fake news: a novel input-output neural network approach for the us food sector
- The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices: evidence based on DCC-GARCH model
- Impact of Economic Policy Uncertainty on Thailand Macroeconomic Variables
- Estimation of Impulse Response Functions When Shocks Are Observed at a Higher Frequency Than Outcome Variables
- Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
- Jump connectedness in the European foreign exchange market
- Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition
- BUSINESS FAILURES AND MACROECONOMIC FACTORS IN THE UK
- Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
- The role of environmental tax in guiding global climate policies to mitigate climate changes in European region
- A generalized method of impulse identification
- The role of systemic risk spillovers in the transmission of euro area monetary policy
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