Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR
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More about this item
Keywords
contagion; forecasting and simulation; Global macroeconometric modeling; macro-financial linkages; models with panel data; network analysis; spill-overs;All these keywords.
JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2013-08-23 (Banking)
- NEP-ETS-2013-08-23 (Econometric Time Series)
- NEP-FOR-2013-08-23 (Forecasting)
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