Asymmetric Effects of Uncertainty over the Business Cycle: A Quantile Structural Vector Autoregressive Approach
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- Schüler, Yves Stephan & Hiebert, Paul P. & Peltonen, Tuomas A., 2015.
"Characterising the financial cycle: A multivariate and time-varying approach,"
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
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"Uncertainty and Forecasts of U.S. Recessions,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-20, September.
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- Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-72, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021.
"Dynamic return and volatility spillovers among S&P 500, crude oil, and gold,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018. "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers 15-46, Eastern Mediterranean University, Department of Economics.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
- Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
- Haibo Wang & Lutfu S. Sua & Jun Huang & Jaime Ortiz & Bahram Alidaee, 2024. "Will Southeast Asia be the next global manufacturing hub? A multiway cointegration, causality, and dynamic connectedness analyses on factors influencing offshore decisions," Papers 2406.07525, arXiv.org.
- Fink, Fabian & Schüler, Yves S., 2015. "The transmission of US systemic financial stress: Evidence for emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 6-26.
- Korobilis, Dimitris, 2015.
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64341, University Library of Munich, Germany.
- Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," SIRE Discussion Papers 2015-72, Scottish Institute for Research in Economics (SIRE).
- Dimitris Korobilis., 2015. "Quantile forecasts of inflation under model uncertainty," Working Papers 2015_09, Business School - Economics, University of Glasgow.
- Huiming Zhu & Xianfang Su & Yawei Guo & Yinghua Ren, 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective," Sustainability, MDPI, vol. 8(8), pages 1-19, August.
- Korobilis, Dimitris, 2017. "Quantile regression forecasts of inflation under model uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 11-20.
- Sulkhan Chavleishvili & Simone Manganelli, 2024.
"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
- Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2019.
"The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 353-368, May.
- 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.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Aygun, Gurcan & Wohar, Mark E., 2021. "Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies," IZA Discussion Papers 14420, Institute of Labor Economics (IZA).
- Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
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More about this item
Keywords
Uncertainty; Economic Cycles; Quantile SVAR; Multivariate Laplace;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-02-08 (Econometrics)
- NEP-MAC-2014-02-08 (Macroeconomics)
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