IDEAS home Printed from https://ideas.repec.org/f/c/pch1449.html
   My authors  Follow this author

Ching-Wai (Jeremy) Chiu

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Chiu, Ching-Wai (Jeremy) & hayes, simon & kapetanios, george & Theodoridis, Konstantinos, 2018. "A new approach for detecting shifts in forecast accuracy," Bank of England working papers 721, Bank of England.

    Cited by:

    1. Jeronymo Marcondes Pinto & Jennifer L. Castle, 2022. "Machine Learning Dynamic Switching Approach to Forecasting in the Presence of Structural Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 129-157, July.

  2. Chatterjee, Somnath & Chiu, Jeremy & Hacioglu-Hoke, Sinem & Duprey, Thibaut, 2017. "A financial stress index for the United Kingdom," Bank of England working papers 697, Bank of England.

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020. "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers 202046, University of Pretoria, Department of Economics.
    2. Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Condition," Canadian Public Policy, University of Toronto Press, vol. 46(S3), pages 236-260, October.
    3. Theshne Kisten, 2020. "A Financial Stress Index for South Africa: A Time-Varying Correlation Approach," Working Papers 202011, University of Pretoria, Department of Economics.
    4. Vladyslav Filatov, 2020. "A New Financial Stress Index for Ukraine," IHEID Working Papers 15-2020, Economics Section, The Graduate Institute of International Studies.
    5. Duprey, Thibaut & Klaus, Benjamin, 2022. "Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress," Journal of Banking & Finance, Elsevier, vol. 138(C).
    6. Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
    7. DEHMEJ , Salim & MIKOU, Mohammed, 2020. "Indice agrégé de stabilité financière au Maroc," Document de travail 2020-2, Bank Al-Maghrib, Département de la Recherche.
    8. Thibaut Duprey, 2018. "Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities," Staff Analytical Notes 2018-6, Bank of Canada.

  3. Hankins, William & Cheng, Chak & Chiu, Jeremy & Stone, Anna-Leigh, 2016. "Does partisan conflict impact the cash holdings of firms? A sign restrictions approach," Bank of England working papers 638, Bank of England.

    Cited by:

    1. Cai, Yifei & Wu, Yanrui, 2019. "Time-varied causality between US partisan conflict shock and crude oil return," Energy Economics, Elsevier, vol. 84(C).
    2. Mehmet Balcilar & Seyi Saint Akadiri & Rangan Gupta & Stephen M. Miller, 2019. "Partisan Conflict and Income Inequality in the United States: A Nonparametric Causality-in-Quantiles Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 142(1), pages 65-82, February.

  4. Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "VAR Models with Non-Gaussian Shocks," Discussion Papers 1609, Centre for Macroeconomics (CFM).

    Cited by:

    1. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    2. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
    3. Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.

  5. Cheng, Chak Hung Jack & Chiu, Ching-Wai (Jeremy), 2016. "Nonlinearities of mortgage spreads over the business cycles," Bank of England working papers 634, Bank of England.

    Cited by:

    1. Andrew Filardo & Jouchi Nakajima, 2018. "Effectiveness of unconventional monetary policies in a low interest rate environment," BIS Working Papers 691, Bank for International Settlements.

  6. Chiu, Ching-Wai (Jeremy) & Harris, Richard & Stoja, Evarist & Chin, Michael, 2016. "Financial market volatility, macroeconomic fundamentals and investor sentiment," Bank of England working papers 608, Bank of England.

    Cited by:

    1. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
    2. Guan-Chun Liu & Chien-Chiang Lee, 2019. "The relationship between insurance and banking sectors: does financial structure matter?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(4), pages 569-594, October.
    3. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
    4. Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
    5. Huber, Christoph & Huber, Juergen & Kirchler, Michael, 2021. "Volatility shocks and investment behavior," OSF Preprints jr4eb, Center for Open Science.
    6. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
    7. Hong Shen & Qi Pan, 2022. "Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China," Sustainability, MDPI, vol. 15(1), pages 1-20, December.
    8. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    9. Haritha P H & Abdul Rishad, 2020. "An empirical examination of investor sentiment and stock market volatility: evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-15, December.
    10. Christoph Huber & Jürgen Huber & Michael Kirchler, 2020. "Market shocks and professionals' investment behavior - Evidence from the COVID-19 crash," Working Papers 2020-11, Faculty of Economics and Statistics, Universität Innsbruck.
    11. Yang, Tianle & Zhou, Fangxing & Du, Min & Du, Qunyang & Zhou, Shirong, 2023. "Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 377-387.
    12. Ye, Wuyi & Guo, Ranran & Deschamps, Bruno & Jiang, Ying & Liu, Xiaoquan, 2021. "Macroeconomic forecasts and commodity futures volatility," Economic Modelling, Elsevier, vol. 94(C), pages 981-994.
    13. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    14. Kanzari, Dalel & Nakhli, Mohamed Sahbi & Gaies, Brahim & Sahut, Jean-Michel, 2023. "Predicting macro-financial instability – How relevant is sentiment? Evidence from long short-term memory networks," Research in International Business and Finance, Elsevier, vol. 65(C).
    15. A. Hachicha & F. Hachicha, 2021. "Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 647-673, February.
    16. Mehwish Aziz Khan & Eatzaz Ahmad, 2018. "Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan," Sustainability, MDPI, vol. 11(1), pages 1-20, December.
    17. Lin, Tiantian & Liu, Dehong & Zhang, Lili & Lung, Peter, 2019. "The information content of realized volatility of sector indices in China’s stock market," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 625-640.
    18. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
    19. Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).
    20. B. De Backer, 2018. "Does financial market volatility influence the real economy?," Economic Review, National Bank of Belgium, issue iv, pages 107-124, december.
    21. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
    22. Lien, Donald & Hung, Pi-Hsia & Lo, Hsiang-Yu, 2022. "Order Choices: An Intraday Analysis of the Taiwan Stock Exchange," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    23. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
    24. Agoraki, Maria-Eleni K. & Aslanidis, Nektarios & Kouretas, Georgios P., 2022. "U.S. banks’ lending, financial stability, and text-based sentiment analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 73-90.
    25. Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2023. "The effect of uncertainty on stock market volatility and correlation," Journal of Banking & Finance, Elsevier, vol. 154(C).
    26. Li, Yulin, 2021. "Investor sentiment and sovereign bonds," Journal of International Money and Finance, Elsevier, vol. 115(C).
    27. Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
    28. Yang, Lu & Cui, Xue & Yang, Lei & Hamori, Shigeyuki & Cai, Xiaojing, 2023. "Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 55-69.
    29. Chu, Xiaojun & Wan, Xinmin & Qiu, Jianying, 2023. "The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    30. Anton A. Gerunov, 2022. "Performance of 109 Machine Learning Algorithms across Five Forecasting Tasks: Employee Behavior Modeling, Online Communication, House Pricing, IT Support and Demand Planning," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 15-43.
    31. Feng He & Libo Yin, 2021. "Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 945-962, September.

  7. Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem, 2016. "Macroeconomic tail events with non-linear Bayesian VARs," Bank of England working papers 611, Bank of England.

    Cited by:

    1. Salzmann, Leonard, 2020. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224588, Verein für Socialpolitik / German Economic Association.
    2. Knotek, Edward S. & Zaman, Saeed, 2021. "Asymmetric responses of consumer spending to energy prices: A threshold VAR approach," Energy Economics, Elsevier, vol. 95(C).
    3. Harun, Cicilia A. & Taruna, Aditya Anta & Ramdani,, 2021. "Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 265-288.
    4. Zulquar Nain & Bandi Kamaiah, 2020. "Uncertainty and Effectiveness of Monetary Policy: A Bayesian Markov Switching-VAR Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 237-265.
    5. Salzmann, Leonard, 2019. "The Impact of Uncertainty and Financial Shocks in Recessions and Booms," EconStor Preprints 206691, ZBW - Leibniz Information Centre for Economics.

  8. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015. "Forecasting with VAR Models: Fat Tails and Stochastic Volatility," CReMFi Discussion Papers 2, CReMFi, School of Economics and Finance, QMUL.

    Cited by:

    1. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
    2. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    3. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    4. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pinter, Gabor, 2016. "VAR models with non-Gaussian shocks," LSE Research Online Documents on Economics 86238, London School of Economics and Political Science, LSE Library.
    5. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
    6. Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
    7. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
    8. Gergely Akos Ganics, 2017. "Optimal density forecast combinations," Working Papers 1751, Banco de España.
    9. Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
    10. Chenghan Hou & Bao Nguyen & Bo Zhang, 2023. "Real‐time forecasting of the Australian macroeconomy using flexible Bayesian VARs," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 418-451, March.
    11. Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022. "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, vol. 46(PA).
    12. Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers 2305.16827, arXiv.org.
    13. Fasianos, Apostolos & Evgenidis, Anastasios, 2020. "Unconventional Monetary Policy and Wealth Inequalities in Great Britain," CEPR Discussion Papers 14656, C.E.P.R. Discussion Papers.
    14. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    15. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    16. Ishaya Tambari & Pierre Failler, 2020. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns," Energies, MDPI, vol. 13(24), pages 1-21, December.
    17. Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
    18. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
    19. Markus K. Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2019. "Feedbacks: Financial Markets and Economic Activity," Working Papers 257, Princeton University, Department of Economics, Center for Economic Policy Studies..
    20. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
    21. Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2019. "Forecasting with instabilities: an application to DSGE models with financial frictions," Temi di discussione (Economic working papers) 1234, Bank of Italy, Economic Research and International Relations Area.
    22. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    23. Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
    24. Siddhartha Chib & Minchul Shin & Fei Tan, 2020. "High-Dimensional DSGE Models: Pointers on Prior, Estimation, Comparison, and Prediction∗," Working Papers 20-35, Federal Reserve Bank of Philadelphia.
    25. Joshua C. C. Chan, 2019. "Large Bayesian vector autoregressions," CAMA Working Papers 2019-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    26. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
    27. Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
    28. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
    29. Michele Lenza & Giorgio E. Primiceri, 2022. "How to estimate a vector autoregression after March 2020," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 688-699, June.
    30. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022. "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 583-602, April.
    31. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," Working Papers 21-02R, Federal Reserve Bank of Cleveland, revised 09 Aug 2021.
    32. Karlsson, Sune & Mazur, Stepan, 2020. "Flexible Fat-tailed Vector Autoregression," Working Papers 2020:5, Örebro University, School of Business.
    33. Jean-Jacques Forneron, 2019. "A Sieve-SMM Estimator for Dynamic Models," Papers 1902.01456, arXiv.org, revised Jan 2023.
    34. Markus Heinrich & Magnus Reif, 2020. "Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters," CESifo Working Paper Series 8054, CESifo.
    35. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
    36. Reif Magnus, 2021. "Macroeconomic uncertainty and forecasting macroeconomic aggregates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
    37. Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
    38. Vasilios Plakandaras & Rangan Gupta & Wing-Keung Wong, 2018. "Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks," Working Papers 201847, University of Pretoria, Department of Economics.
    39. Walid Mansour & Hechem Ajmi & Karima Saci, 2022. "Regulatory policies in the global Islamic banking sector in the outbreak of COVID-19 pandemic," Journal of Banking Regulation, Palgrave Macmillan, vol. 23(3), pages 265-287, September.
    40. Tamás Kiss & Pär Österholm, 2021. "Corona, crisis and conditional heteroscedasticity," Applied Economics Letters, Taylor & Francis Journals, vol. 28(9), pages 755-759, May.
    41. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
    42. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    43. Christian Hotz-Behofsits & Florian Huber & Thomas O. Zorner, 2018. "Predicting crypto-currencies using sparse non-Gaussian state space models," Papers 1801.06373, arXiv.org, revised Feb 2018.
    44. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    45. Joshua Chan, 2023. "BVARs and Stochastic Volatility," Papers 2310.14438, arXiv.org.
    46. Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
    47. Liu, Xiaochun, 2019. "On tail fatness of macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 62(C).
    48. Garreth Rule, 2015. "Understanding the central bank balance sheet," Handbooks, Centre for Central Banking Studies, Bank of England, number 32, April.
    49. Siddhartha Chib & Minchul Shin & Fei Tan, 2023. "DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 69-111, January.
    50. Gambetti, Luca & Musso, Alberto, 2020. "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, vol. 130(C).
    51. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2023. "Forecasting extreme financial risk: A score-driven approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 720-735.
    52. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.
    53. Cross, Jamie & Poon, Aubrey, 2016. "Forecasting structural change and fat-tailed events in Australian macroeconomic variables," Economic Modelling, Elsevier, vol. 58(C), pages 34-51.
    54. Nguyen, BH & Zhang, Bo, 2022. "Forecasting oil Prices: can large BVARs help?," Working Papers 2022-04, University of Tasmania, Tasmanian School of Business and Economics.
    55. Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    56. James Cloyne & Joseba Martinez & Haroon Mumtaz & Paolo Surico, 2023. "The Dynamic Effects of Income Tax Changes in a World of Ideas," Working Papers 970, Queen Mary University of London, School of Economics and Finance.
    57. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.

  9. Chiu, Ching-Wai (Jeremy) & Hill, John, 2015. "The rate elasticity of retail deposits in the United Kingdom: a macroeconomic investigation," Bank of England working papers 540, Bank of England.

    Cited by:

    1. Andrej Sokol & Michael Kumhof & Marco Pinchetti & Phurichai Rungcharoenkitkul, 2023. "CBDC policies in open economies," BIS Working Papers 1086, Bank for International Settlements.
    2. Mathias Hoffmann & Egor Maslov & Bent E. Sørensen, 2021. "Small firms and domestic bank dependence in Europe’s Great Recession," ECON - Working Papers 397, Department of Economics - University of Zurich.
    3. Christian Keuschnigg & Michael Kogler & Johannes Matt, 2022. "Banks, Credit Reallocation, and Creative Destruction," CESifo Working Paper Series 10093, CESifo.
    4. Jack Meaning & Ben Dyson & James Barker & Emily Clayton, 2021. "Broadening Narrow Money: Monetary Policy with a Central Bank Digital Currency," International Journal of Central Banking, International Journal of Central Banking, vol. 17(2), pages 1-42, June.
    5. Jed Armstrong & Nicholas Mulligan, 2017. "Diving in the deep end of domestic deposits," Reserve Bank of New Zealand Analytical Notes series AN2017/05, Reserve Bank of New Zealand.
    6. Emilia Anuta Corovei & Adela Socol, 2019. "The Macroeconomic Drivers for Household Deposits Growth in the Eurozone," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(3), pages 144-151, September.
    7. Mpho Rapapali & Daan Steenkamp, 2020. "Developments in bank funding costs in South Africa," Working Papers 9818, South African Reserve Bank.

  10. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.

    Cited by:

    1. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Working Papers 720, Queen Mary University of London, School of Economics and Finance.
    2. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
    3. Dimitrakopoulos, Stefanos, 2017. "Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility," Economics Letters, Elsevier, vol. 150(C), pages 10-14.
    4. Michal Franta, 2015. "Rare Shocks vs. Non-linearities: What Drives Extreme Events in the Economy? Some Empirical Evidence," Working Papers 2015/04, Czech National Bank.

  11. Ching Wai Chiu & Bjorn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernan D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper RWP 11-11, Federal Reserve Bank of Kansas City.

    Cited by:

    1. Qian, Hang, 2012. "Essays on statistical inference with imperfectly observed data," ISU General Staff Papers 201201010800003618, Iowa State University, Department of Economics.
    2. Andrea Carriero & Todd E. Clark & Marcellino Massimiliano, 2020. "Nowcasting Tail Risks to Economic Activity with Many Indicators," Working Papers 20-13R2, Federal Reserve Bank of Cleveland, revised 22 Sep 2020.
    3. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018. "Using low frequency information for predicting high frequency variables," International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
    4. Marcellino, Massimiliano & Sivec, Vasja, 2016. "Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 335-348.
    5. Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2019. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," EMF Research Papers 20, Economic Modelling and Forecasting Group.
    6. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
    7. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Papers (Old Series) 1227, Federal Reserve Bank of Cleveland.
    8. Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
    9. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Working Paper 2013/06, Norges Bank.
    10. Peter A. Zadrozny, 2015. "Extended Yule-Walker Identification of Varma Models with Single- or Mixed- Frequency Data," Economic Working Papers 485, Bureau of Labor Statistics.
    11. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
    12. Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Working Papers 2021-01, Joint Research Centre, European Commission.
    13. Seong, Byeongchan, 2020. "Smoothing and forecasting mixed-frequency time series with vector exponential smoothing models," Economic Modelling, Elsevier, vol. 91(C), pages 463-468.
    14. Ahiadorme, Johnson Worlanyo, 2020. "Monetary policy transmission and income inequality in Sub-Saharan Africa," MPRA Paper 104084, University Library of Munich, Germany.
    15. Jonas E. Arias & Minchul Shin, 2020. "Tracking U.S. Real GDP Growth During the Pandemic," Economic Insights, Federal Reserve Bank of Philadelphia, vol. 5(3), pages 9-14, September.
    16. Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
    17. Canova, Fabio & Bluwstein, Kristina, 2015. "Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures," CEPR Discussion Papers 10856, C.E.P.R. Discussion Papers.
    18. Daniel L. Millimet & Ian K. McDonough, 2017. "Dynamic Panel Data Models With Irregular Spacing: With an Application to Early Childhood Development," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 725-743, June.
    19. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.
    20. Deborah Gefang & Gary Koop & Aubrey Poon, 2020. "Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-07, Economic Statistics Centre of Excellence (ESCoE).
    21. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2016. "Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows," Working Papers 2016-04, Joint Research Centre, European Commission.
    22. Ankargren Sebastian & Unosson Måns & Yang Yukai, 2020. "A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior," Journal of Time Series Econometrics, De Gruyter, vol. 12(2), pages 1-41, July.
    23. Gani Ramadani & Magdalena Petrovska & Vesna Bucevska, 2021. "Evaluation of mixed frequency approaches for tracking near-term economic developments in North Macedonia," Working Papers 2021-03, National Bank of the Republic of North Macedonia.
    24. Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
    25. Thomas B. Götz & Alain W. Hecq, 2019. "Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
    26. Qiu, Yue, 2020. "Forecasting the Consumer Confidence Index with tree-based MIDAS regressions," Economic Modelling, Elsevier, vol. 91(C), pages 247-256.
    27. Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Papers 2007.13566, arXiv.org, revised Dec 2022.
    28. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
    29. Anna Samarina & Anh D.M. Nguyen, 2019. "Does monetary policy affect income inequality in the euro area?," Bank of Lithuania Working Paper Series 61, Bank of Lithuania.
    30. Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
    31. Foroni, Claudia & Marcellino, Massimiliano & Stevanović, Dalibor, 2018. "Mixed frequency models with MA components," Discussion Papers 02/2018, Deutsche Bundesbank.
    32. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
    33. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
    34. Ramadani Gani & Petrovska Magdalena & Bucevska Vesna, 2021. "Evaluation of Mixed Frequency Approaches for Tracking Near-Term Economic Developments in North Macedonia," South East European Journal of Economics and Business, Sciendo, vol. 16(2), pages 43-52, December.
    35. Ghysels, Eric, 2016. "Macroeconomics and the reality of mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 294-314.
    36. Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
    37. Ankargren, Sebastian & Jonéus, Paulina, 2021. "Simulation smoothing for nowcasting with large mixed-frequency VARs," Econometrics and Statistics, Elsevier, vol. 19(C), pages 97-113.
    38. Michal Franta & David Havrlant & Marek Rusnak, 2014. "Forecasting Czech GDP Using Mixed-Frequency Data Models," Working Papers 2014/08, Czech National Bank.
    39. Qian, Hang, 2016. "A computationally efficient method for vector autoregression with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 433-437.
    40. Sergio Afonso Lago Alves & Angelo Marsiglia Fasolo, 2015. "Not Just Another Mixed Frequency Paper," Working Papers Series 400, Central Bank of Brazil, Research Department.
    41. Jan Klacso, 2015. "The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 55-83, January.
    42. Gary Koop & Stuart McIntyre & James Mitchell, 2018. "UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-07, Economic Statistics Centre of Excellence (ESCoE).
    43. Mayer, Eric & Maas, Daniel & Rüth, Sebastian, 2016. "Current Account Dynamics and the Housing Cycle in Spain," VfS Annual Conference 2016 (Augsburg): Demographic Change 145824, Verein für Socialpolitik / German Economic Association.
    44. Nuttanan Wichitaksorn, 2020. "Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach," PIER Discussion Papers 146, Puey Ungphakorn Institute for Economic Research.
    45. Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2015. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," International Journal of Forecasting, Elsevier, vol. 31(2), pages 238-252.
    46. Maas, Daniel & Mayer, Eric & Rüth, Sebastian, 2015. "Current account dynamics and the housing boom and bust cycle in Spain," W.E.P. - Würzburg Economic Papers 94, University of Würzburg, Department of Economics.
    47. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013. "Testing for Granger Causality with Mixed Frequency Data," CEPR Discussion Papers 9655, C.E.P.R. Discussion Papers.
    48. Foroni, Claudia & Marcellino, Massimiliano, 2014. "A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates," International Journal of Forecasting, Elsevier, vol. 30(3), pages 554-568.
    49. Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.
    50. Marcellino, Massimiliano & Foroni, Claudia, 2014. "Markov-Switching Mixed-Frequency VAR Models," CEPR Discussion Papers 9815, C.E.P.R. Discussion Papers.
    51. Michelle T. Armesto & Kristie M. Engemann & Michael T. Owyang, 2010. "Forecasting with mixed frequencies," Review, Federal Reserve Bank of St. Louis, vol. 92(Nov), pages 521-536.
    52. Camacho, Maximo & Perez-Quiros, Gabriel & Pacce, Matías, 2020. "Spillover effects in international business cycles," Working Paper Series 2484, European Central Bank.
    53. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
    54. Claudia Foroni & Massimiliano Marcellino, 2014. "Mixed frequency structural VARs," Working Paper 2014/01, Norges Bank.
    55. Gary Koop & Stuart McIntyre & James Mitchell, 2020. "UK regional nowcasting using a mixed frequency vector auto‐regressive model with entropic tilting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(1), pages 91-119, January.
    56. Jürgen Antony & D. Broer, 2015. "Euro area financial shocks and economic activity in The Netherlands," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 571-595, August.
    57. Sebastian Ankargren & Måns Unosson & Yukai Yang, 2018. "A mixed-frequency Bayesian vector autoregression with a steady-state prior," CREATES Research Papers 2018-32, Department of Economics and Business Economics, Aarhus University.
    58. Trujillo-Barrera, Andres & Pennings, Joost M.E., 2013. "Energy and Food Commodity Prices Linkage: An Examination with Mixed-Frequency Data," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150465, Agricultural and Applied Economics Association.
    59. Selma Toker & Nimet Özbay & Kristofer Månsson, 2022. "Mixed data sampling regression: Parameter selection of smoothed least squares estimator," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 718-751, July.

Articles

  1. Cheng, Chak Hung Jack & Chiu, Ching-Wai (Jeremy) & Hankins, William B. & Stone, Anna-Leigh, 2018. "Partisan conflict, policy uncertainty and aggregate corporate cash holdings," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 78-90.

    Cited by:

    1. Beyer, Deborah B. & Fan, Zaifeng S., 2023. "The calming effects of conflict: The impact of partisan conflict on market volatility," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Liu, Yuanyuan & Li, Jing & Liu, Guanchun & Lee, Chien-Chiang, 2021. "Economic policy uncertainty and firm’s cash holding in China: The key role of asset reversibility," Journal of Asian Economics, Elsevier, vol. 74(C).
    4. He, Feng & Ma, Yaming & Zhang, Xiaojie, 2020. "How does economic policy uncertainty affect corporate Innovation?–Evidence from China listed companies," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 225-239.
    5. Badar Nadeem Ashraf, 2021. "Is Economic Uncertainty a Risk Factor in Bank Loan Pricing Decisions? International Evidence," Risks, MDPI, vol. 9(5), pages 1-17, April.
    6. Rufei Zhang & Haizhen Zhang & Qingzhu Fan & Wang Gao & Xue Luo & Shixiong Yang, 2022. "Partisan Conflict, National Security Policy Uncertainty and Tourism," Sustainability, MDPI, vol. 14(17), pages 1-22, August.
    7. Khoo, Joye & Cheung, Adrian (Wai Kong), 2021. "Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression," Global Finance Journal, Elsevier, vol. 47(C).
    8. Tat Dat Bui & Mohd Helmi Ali & Feng Ming Tsai & Mohammad Iranmanesh & Ming-Lang Tseng & Ming K Lim, 2020. "Challenges and Trends in Sustainable Corporate Finance: A Bibliometric Systematic Review," JRFM, MDPI, vol. 13(11), pages 1-26, October.
    9. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2021. "US partisan conflict and high-yield exchange rates," Finance Research Letters, Elsevier, vol. 40(C).
    10. Hsieh, Hui-Ching & Nguyen, Van Quoc Thinh, 2021. "Economic policy uncertainty and illiquidity return premium," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    11. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.

  2. Chak Hung Jack Cheng & Ching-Wai (Jeremy) Chiu, 2018. "How important are global geopolitical risks to emerging countries?," International Economics, CEPII research center, issue 156, pages 305-325.

    Cited by:

    1. Massomeh Hajilee & Farhang Niroomand & Linda A. Hayes, 2023. "The relationship between interest rate volatility and the shadow economy in OECD countries: An asymmetric analysis," Australian Economic Papers, Wiley Blackwell, vol. 62(3), pages 539-566, September.
    2. Yonghong Jiang & Gengyu Tian & Yiqi Wu & Bin Mo, 2022. "Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 320-333, January.
    3. Elie Bouri & Rangan Gupta & Xuan Vinh Vo, 2022. "Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin," Defence and Peace Economics, Taylor & Francis Journals, vol. 33(2), pages 150-161, February.
    4. Iulia ELENES PLATONA, 2022. "Trade Openness, Investment Freedom- Selected Country Risk Indicators, Impact On Foreign Direct Investments, A Panel Vector Autoregression Model Approach," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 2(2), pages 198-205, December.
    5. Oguzhan Ozcelebi & Kaya Tokmakcioglu, 2022. "Assessment of the asymmetric impacts of the geopolitical risk on oil market dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 275-289, January.
    6. Wang, Kai-Hua & Xiong, De-Ping & Mirza, Nawazish & Shao, Xue-Feng & Yue, Xiao-Guang, 2021. "Does geopolitical risk uncertainty strengthen or depress cash holdings of oil enterprises? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    7. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99376, University Library of Munich, Germany.
    9. Iyke, Bernard Njindan & Phan, Dinh Hoang Bach & Narayan, Paresh Kumar, 2022. "Exchange rate return predictability in times of geopolitical risk," International Review of Financial Analysis, Elsevier, vol. 81(C).
    10. Veli YILANCI & Sertaç HOPOĞLU & Hakan ERYÜZLÜ, 2023. "The impact of the economic policy uncertainty and geopolitical risks on tourism demand of Mexico," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(636), A), pages 147-164, Autumn.
    11. Osama D. Sweidan, 2023. "Geopolitical Risk and Income Inequality: Evidence from the US Economy," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 169(1), pages 575-597, September.
    12. Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2022. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Working Papers 202201, University of Pretoria, Department of Economics.
    13. Dogan, Eyup & Majeed, Muhammad Tariq & Luni, Tania, 2021. "Analyzing the impacts of geopolitical risk and economic uncertainty on natural resources rents," Resources Policy, Elsevier, vol. 72(C).
    14. Tam NguyenHuu & Deniz Karaman Orsal, 2022. "Geopolitical risks and financial stress in emerging economies," Working Papers 2022.09, International Network for Economic Research - INFER.
    15. Lee, Chi-Chuan & Lee, Chien-Chiang & Li, Yong-Yi, 2021. "Oil price shocks, geopolitical risks, and green bond market dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    16. Sweidan, Osama D., 2021. "Is the geopolitical risk an incentive or obstacle to renewable energy deployment? Evidence from a panel analysis," Renewable Energy, Elsevier, vol. 178(C), pages 377-384.
    17. Alsagr, Naif & Cumming, Douglas J. & Davis, Justin G. & Sewaid, Ahmed, 2023. "Geopolitical risk and crowdfunding performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    18. Lee, Chi-Chuan & Lee, Chien-Chiang, 2020. "Insurance activity, real output, and geopolitical risk: Fresh evidence from BRICS," Economic Modelling, Elsevier, vol. 92(C), pages 207-215.
    19. Alisa Kazakova & Insin Kim, 2021. "Geopolitical-Risk and Economic Policy—Uncertainty Impacts on Tourist Flows from Neighboring Countries: A Wavelet Analysis," Sustainability, MDPI, vol. 13(24), pages 1-13, December.
    20. Rao, Sandeep & Koirala, Santosh & Aldhawyan, Sulaiman & Corbet, Shaen, 2023. "Geopolitical risk and M&A: The role of national governance institutions," Economics Letters, Elsevier, vol. 225(C).
    21. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    22. Wang, Wen & Niu, Yanfang & Gapich, Alexander & Strielkowski, Wadim, 2023. "Natural resources extractions and carbon neutrality: The role of geopolitical risk," Resources Policy, Elsevier, vol. 83(C).
    23. Yang, Tianle & Dong, Qingyuan & Du, Min & Du, Qunyang, 2023. "Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach," Energy Economics, Elsevier, vol. 127(PB).
    24. Shen, Lihua & Hong, Yanran, 2023. "Can geopolitical risks excite Germany economic policy uncertainty: Rethinking in the context of the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 51(C).
    25. Sweidan, Osama D. & Elbargathi, Khadiga, 2022. "The effect of oil rent on economic development in Saudi Arabia: Comparing the role of globalization and the international geopolitical risk," Resources Policy, Elsevier, vol. 75(C).
    26. Osama D. Sweidan, 2023. "The Effect of Geopolitical Risk on Income Inequality: Evidence from a Panel Analysis," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 167(1), pages 47-66, June.
    27. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    28. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2022. "Time and frequency spillovers between political risk and the stock returns of China's rare earths," Resources Policy, Elsevier, vol. 75(C).
    29. Tang, Yumei & Chen, Xihui Haviour & Sarker, Provash Kumer & Baroudi, Sarra, 2023. "Asymmetric effects of geopolitical risks and uncertainties on green bond markets," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    30. Hemrit, Wael & Nakhli, Mohamed Sahbi, 2021. "Insurance and geopolitical risk: Fresh empirical evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 320-334.
    31. Aysan, Ahmet Faruk & Demir, Ender & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "Effects of the geopolitical risks on Bitcoin returns and volatility," Research in International Business and Finance, Elsevier, vol. 47(C), pages 511-518.
    32. Layal Mansour-Ichrakieh, 2021. "The Impact of Israeli and Saudi Arabian Geopolitical Risks on the Lebanese Financial Market," JRFM, MDPI, vol. 14(3), pages 1-24, February.
    33. Le, Anh-Tuan & Tran, Thao Phuong, 2021. "Does geopolitical risk matter for corporate investment? Evidence from emerging countries in Asia," Journal of Multinational Financial Management, Elsevier, vol. 62(C).
    34. Salisu, Afees A. & Cuñado, Juncal & Gupta, Rangan, 2022. "Geopolitical risks and historical exchange rate volatility of the BRICS," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 179-190.
    35. Wei Hu & Yue Shan & Yun Deng & Ningning Fu & Jian Duan & Haining Jiang & Jianzhen Zhang, 2023. "Geopolitical Risk Evolution and Obstacle Factors of Countries along the Belt and Road and Its Types Classification," IJERPH, MDPI, vol. 20(2), pages 1-24, January.
    36. Ferreira, João J. & Gomes, Sofia & Lopes, João M. & Zhang, Justin Z., 2023. "Ticking time bombs: The MENA and SSA regions' geopolitical risks," Resources Policy, Elsevier, vol. 85(PA).
    37. Tian, Hao & Long, Shaobo & Li, Zixuan, 2022. "Asymmetric effects of climate policy uncertainty, infectious diseases-related uncertainty, crude oil volatility, and geopolitical risks on green bond prices," Finance Research Letters, Elsevier, vol. 48(C).
    38. Lee, Chi-Chuan & Lee, Chien-Chiang & Xiao, Shunyi, 2021. "Policy-related risk and corporate financing behavior: Evidence from China’s listed companies," Economic Modelling, Elsevier, vol. 94(C), pages 539-547.
    39. Νikolaos A. Kyriazis, 2021. "The effects of geopolitical uncertainty on cryptocurrencies and other financial assets," SN Business & Economics, Springer, vol. 1(1), pages 1-14, January.
    40. Olanipekun, Ifedolapo Olabisi & Alola, Andrew Adewale, 2020. "Crude oil production in the Persian Gulf amidst geopolitical risk, cost of damage and resources rents: Is there asymmetric inference?," Resources Policy, Elsevier, vol. 69(C).
    41. Chaker Aloui & Hela Ben Hamida & Besma Hkiri, 2021. "Democratic transition, political risk, economic instability, and tourist inflows: The case of Tunisia," Tourism Economics, , vol. 27(5), pages 1157-1165, August.
    42. Khoo, Joye & Cheung, Adrian (Wai Kong), 2021. "Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression," Global Finance Journal, Elsevier, vol. 47(C).
    43. Zaremba, Adam & Cakici, Nusret & Demir, Ender & Long, Huaigang, 2022. "When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns," Journal of Financial Stability, Elsevier, vol. 58(C).
    44. Mikhail Stolbov & Maria Shchepeleva, 2021. "Macrofinancial linkages in Europe: Evidence from quantile local projections," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5557-5569, October.
    45. Sweidan, Osama D. & Elbargathi, Khadiga, 2023. "Economic diversification in Saudi Arabia: Comparing the impact of oil prices, geopolitical risk, and government expenditures," International Economics, Elsevier, vol. 175(C), pages 13-24.
    46. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2020. "The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis," Resources Policy, Elsevier, vol. 68(C).
    47. Foglia, Matteo & Palomba, Giulio & Tedeschi, Marco, 2023. "Disentangling the geopolitical risk and its effects on commodities. Evidence from a panel of G8 countries," Resources Policy, Elsevier, vol. 85(PB).
    48. Ecenur Ugurlu-Yildirim & Beyza Mina Ordu-Akkaya, 2022. "Does the impact of geopolitical risk reduce with the financial structure of an economy? A perspective from market vs. bank-based emerging economies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 681-703, December.
    49. Salisu, Afees A. & Ogbonna, Ahamuefula E. & Lasisi, Lukman & Olaniran, Abeeb, 2022. "Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    50. Zouhaier Dhifaoui & Kaies Ncibi & Faicel Gasmi & Abulmajeed Abdallah Alqarni, 2023. "The Nexus between Climate Change and Geopolitical Risk Index in Saudi Arabia Based on the Fourier-Domain Transfer Entropy Spectrum Method," Sustainability, MDPI, vol. 15(18), pages 1-22, September.
    51. Li, Yingli & Huang, Jianbai & Gao, Wang & Zhang, Hongwei, 2021. "Analyzing the time-frequency connectedness among oil, gold prices and BRICS geopolitical risks," Resources Policy, Elsevier, vol. 73(C).
    52. Hajilee, Massomeh & Stringer, Donna Y. & Hayes, Linda A., 2021. "On the link between the shadow economy and stock market development: An asymmetry analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 303-316.
    53. Kazi Sohag & Rogneda Vasilyeva & Alina Urazbaeva & Valentin Voytenkov, 2022. "Stock Market Synchronization: The Role of Geopolitical Risk," JRFM, MDPI, vol. 15(5), pages 1-15, April.
    54. Choi, Sun-Yong, 2022. "Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries," Finance Research Letters, Elsevier, vol. 46(PB).
    55. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    56. Zhang, Jialin & Shi, Shaodong, 2023. "Extraction of natural resources and geopolitical risk revisited: A novel perspective of research and development with financial development," Resources Policy, Elsevier, vol. 85(PA).
    57. Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022. "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, vol. 111(C).
    58. Md. Monirul Islam & Kazi Sohag & Faheem ur Rehman, 2022. "Do Geopolitical Tensions and Economic Policy Uncertainties Reorient Mineral Imports in the USA? A Fat-Tailed Data Analysis Using Novel Quantile Approaches," Mathematics, MDPI, vol. 11(1), pages 1-25, December.
    59. Qin, Meng & Su, Chi-Wei & Umar, Muhammad & Lobonţ, Oana-Ramona & Manta, Alina Georgiana, 2023. "Are climate and geopolitics the challenges to sustainable development? Novel evidence from the global supply chain," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 748-763.
    60. Khan, Khalid & Khurshid, Adnan & Cifuentes-Faura, Javier, 2023. "Investigating the relationship between geopolitical risks and economic security: Empirical evidence from central and Eastern European countries," Resources Policy, Elsevier, vol. 85(PA).
    61. Hajilee, Massomeh & Niroomand, Farhang, 2021. "Is there an asymmetric link between the shadow economy and the financial depth of emerging market economies?," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).

  3. Ching-Wai (Jeremy) Chiu & John Hill, 2018. "The Rate Elasticity of Retail Deposits in the United Kingdom: A Macroeconomic Investigation," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 113-158, March.
    See citations under working paper version above.
  4. Chiu, Ching-Wai (Jeremy) & Mumtaz, Haroon & Pintér, Gábor, 2017. "Forecasting with VAR models: Fat tails and stochastic volatility," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1124-1143.
    See citations under working paper version above.
  5. Cheng, Chak Hung Jack & Hankins, William B. & Chiu, Ching-Wai (Jeremy), 2016. "Does US partisan conflict matter for the Euro area?," Economics Letters, Elsevier, vol. 138(C), pages 64-67.

    Cited by:

    1. Rangan Gupta & Chi Keung Marco Lau & Stephen M. Miller & Mark E. Wohar, 2017. "U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict," Working Papers 201742, University of Pretoria, Department of Economics.
    2. Cheng, Chak Hung Jack & Chiu, Ching-Wai (Jeremy) & Hankins, William B. & Stone, Anna-Leigh, 2018. "Partisan conflict, policy uncertainty and aggregate corporate cash holdings," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 78-90.
    3. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    4. William B. Hankins & Anna‐Leigh Stone & Chak Hung Jack Cheng & Ching‐Wai (Jeremy) Chiu, 2020. "Corporate decision making in the presence of political uncertainty: The case of corporate cash holdings," The Financial Review, Eastern Finance Association, vol. 55(2), pages 307-337, May.
    5. Pan, Wei-Fong & Wang, Xinjie & Yang, Shanxiang, 2019. "Debt maturity, leverage, and political uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    6. Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model," Working Papers 202145, University of Pretoria, Department of Economics.
    7. Nicolas Himounet, 2021. "Searching for the Nature of Uncertainty: Macroeconomic VS Financial," Working Papers 2021.05, International Network for Economic Research - INFER.
    8. Gupta, Rangan & Pierdzioch, Christian & Selmi, Refk & Wohar, Mark E., 2018. "Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 87-96.
    9. Rangan Gupta & John W. Muteba Mwamba & Mark E. Wohar, 2016. "The Role of Partisan Conflict in Forecasting the U.S. Equity Premium: A Nonparametric Approach," Working Papers 201686, University of Pretoria, Department of Economics.
    10. Helena Chuliá & Rangan Gupta & Jorge M. Uribe & Mark E. Wohar, 2016. "Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach," Working Papers 201656, University of Pretoria, Department of Economics.
    11. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    12. Jiang, Xiandeng & Shi, Yanlin & Zhang, Zhaoyong, 2021. "Does US partisan conflict affect China’s foreign exchange reserves?," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 21-33.
    13. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    14. Nicholas Apergis & Ioannis Chatziantoniou, 2022. "US partisan conflict shocks and international stock market returns," Empirical Economics, Springer, vol. 63(6), pages 2817-2854, December.
    15. Cai, Yifei & Wu, Yanrui, 2019. "Time-varied causality between US partisan conflict shock and crude oil return," Energy Economics, Elsevier, vol. 84(C).
    16. Qin, Meng & Su, Chi-Wei & Tao, Ran & Umar, Muhammad, 2020. "Is factionalism a push for gold price?," Resources Policy, Elsevier, vol. 67(C).
    17. Rufei Zhang & Haizhen Zhang & Qingzhu Fan & Wang Gao & Xue Luo & Shixiong Yang, 2022. "Partisan Conflict, National Security Policy Uncertainty and Tourism," Sustainability, MDPI, vol. 14(17), pages 1-22, August.
    18. Pattanaporn Chatjuthamard & Sirimon Treepongkaruna & Pornsit Jiraporn & Napatsorn Jiraporn, 2021. "Does firm‐level political risk influence corporate social responsibility (CSR)? Evidence from earnings conference calls," The Financial Review, Eastern Finance Association, vol. 56(4), pages 721-741, November.
    19. Pierdzioch Christian & Gupta Rangan, 2020. "Uncertainty and Forecasts of U.S. Recessions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
    20. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Aygun, Gurcan & Wohar, Mark E., 2022. "The macroeconomic impact of economic uncertainty and financial shocks under low and high financial stress," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    21. Nguyen, Thanh Cong, 2022. "Economic policy uncertainty: The probability and duration of economic recessions in major European Union countries," Research in International Business and Finance, Elsevier, vol. 62(C).
    22. Rangan Gupta & Godwin Olasehinde-Williams & Mark E. Wohar, 2018. "The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels," Working Papers 201857, University of Pretoria, Department of Economics.
    23. Jiang, Xiandeng & Shi, Yanlin, 2020. "Does US partisan conflict affect US–China bilateral trade?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 1117-1131.
    24. Xie, Chengyuan & Jin, Xiaotong, 2023. "The role of digitalization, sustainable environment, natural resources and political globalization towards economic well-being in China, Japan and South Korea," Resources Policy, Elsevier, vol. 83(C).
    25. Mehmet Balcilar & Seyi Saint Akadiri & Rangan Gupta & Stephen M. Miller, 2019. "Partisan Conflict and Income Inequality in the United States: A Nonparametric Causality-in-Quantiles Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 142(1), pages 65-82, February.
    26. Hankins, William & Cheng, Chak & Chiu, Jeremy & Stone, Anna-Leigh, 2016. "Does partisan conflict impact the cash holdings of firms? A sign restrictions approach," Bank of England working papers 638, Bank of England.
    27. Nguyen, Thanh Cong, 2021. "Economic policy uncertainty and bank stability: Does bank regulation and supervision matter in major European economies?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    28. Rangan Gupta & Christian Pierdzioch & Refk Selmi & Mark E. Wohar, 2017. "Does Partisan Conflict Predict a Reduction in US Stock Market (Realized) Volatility? Evidence from a Quantile-on-Quantile Regression Model," Working Papers 201744, University of Pretoria, Department of Economics.
    29. Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Shao, Xue-Feng, 2021. "Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US?," Technological Forecasting and Social Change, Elsevier, vol. 167(C).

  6. Bjørn Eraker & Ching Wai (Jeremy) Chiu & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2015. "Bayesian Mixed Frequency VARs," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 698-721.
    See citations under working paper version above.
  7. Ching-Wai (Jeremy) Chiu, 2014. "A macroeconomic investigation of funding liquidity and monetary policy shocks in the United States," Applied Economics Letters, Taylor & Francis Journals, vol. 21(8), pages 517-521, May.

    Cited by:

    1. Cheng, Chak Hung Jack & Chiu, Ching-Wai (Jeremy) & Hankins, William B. & Stone, Anna-Leigh, 2018. "Partisan conflict, policy uncertainty and aggregate corporate cash holdings," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 78-90.
    2. Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.