Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach
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DOI: 10.1007/s00181-023-02474-y
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More about this item
Keywords
Connectedness index; Spillover effects; Uncertainty; Financial crisis; Quantile VAR;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
Statistics
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