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Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model

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Cited by:

  1. INOUE Tomoo & OKIMOTO Tatsuyoshi, 2019. "How Does Unconventional Monetary Policy Affect the Global Financial Markets?: Evaluating Policy Effects by Global VAR Models," Discussion papers 19031, Research Institute of Economy, Trade and Industry (RIETI).
  2. Cesa-Bianchi, Ambrogio & Pesaran, M. Hashem & Rebucci, Alessandro, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications (Working Papers) 6605, Inter-American Development Bank.
  3. Martin Feldkircher & Thomas Gruber & Florian Huber, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," Department of Economics Working Papers wuwp248, Vienna University of Economics and Business, Department of Economics.
  4. Cipollini, Andrea & Parla, Fabio, 2020. "Housing market shocks in italy: A GVAR approach," Journal of Housing Economics, Elsevier, vol. 50(C).
  5. Olga Korotkikh, 2020. "A Multi-Country BVAR Model for the External Sector," Russian Journal of Money and Finance, Bank of Russia, vol. 79(4), pages 98-112, December.
  6. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
  7. T H Moon & S Y Sohn, 2010. "Technology credit scoring model considering both SME characteristics and economic conditions: The Korean case," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(4), pages 666-675, April.
  8. Georgiadis, Georgios, 2016. "Determinants of global spillovers from US monetary policy," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 41-61.
  9. Chen, Anping & Groenewold, Nicolaas, 2018. "The regional effects of macroeconomic shocks in China," China Economic Review, Elsevier, vol. 48(C), pages 139-154.
  10. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
  11. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
  12. Nils Holinski & Robert Vermeulen, 2012. "The international wealth channel: a global error-correcting analysis," Empirical Economics, Springer, vol. 43(3), pages 985-1010, December.
  13. Minoas Koukouritakis & Athanasios P. Papadopoulos & Andreas Yannopoulos, 2014. "Linkages between the Eurozone and the South-Eastern European Countries: A VECMX* Analysis," International Symposia in Economic Theory and Econometrics, in: Macroeconomic Analysis and International Finance, volume 23, pages 185-216, Emerald Group Publishing Limited.
  14. Eickmeier, Sandra & Ng, Tim, 2011. "Forecasting national activity using lots of international predictors: An application to New Zealand," International Journal of Forecasting, Elsevier, vol. 27(2), pages 496-511, April.
  15. repec:idb:brikps:6417 is not listed on IDEAS
  16. Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, vol. 26(2), pages 432-444, March.
  17. Mariam Camarero & Josep Lluís Carrion‐i‐Silvestre & Cecilio Tamarit, 2021. "External imbalances from a GVAR perspective," The World Economy, Wiley Blackwell, vol. 44(11), pages 3202-3245, November.
  18. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
  19. Pfarrhofer, Michael, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Working Papers in Economics 2019-3, University of Salzburg.
  20. Yang, Qiang & Huo, Jiale & Saqib, Najia & Mahmood, Haider, 2022. "Modelling the effect of renewable energy and public-private partnership in testing EKC hypothesis: Evidence from methods moment of quantile regression," Renewable Energy, Elsevier, vol. 192(C), pages 485-494.
  21. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2015. "Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis," Economic Modelling, Elsevier, vol. 48(C), pages 129-154.
  22. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
  23. Michael D. Bordo & Pierre L. Siklos, 2015. "Central Bank Credibility: An Historical and Quantitative Exploration," NBER Working Papers 20824, National Bureau of Economic Research, Inc.
  24. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4534-4555.
  25. Dees, Stéphane, 2016. "Credit, asset prices and business cycles at the global level," Economic Modelling, Elsevier, vol. 54(C), pages 139-152.
  26. Candelon, Bertrand & Luisi, Angelo & Roccazzella, Francesco, 2022. "Fragmentation in the European Monetary Union: Is it really over?," Journal of International Money and Finance, Elsevier, vol. 122(C).
  27. Guillaume Pierre & Jonathan Kaminski, 2019. "Cross country maize market linkages in Africa: integration and price transmission across local and global markets," Agricultural Economics, International Association of Agricultural Economists, vol. 50(1), pages 79-90, January.
  28. Inoue,Tomoo & Kaya,Demet & Ohshige,Hitoshi, 2015. "The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model," Policy Research Working Paper Series 7442, The World Bank.
  29. Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael, 2018. "The transmission of uncertainty shocks on income inequality: State-level evidence from the United States," Working Papers in Economics 2018-4, University of Salzburg, revised 10 Jan 2019.
  30. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
  31. Boschi, Melisso & Girardi, Alessandro, 2011. "The contribution of domestic, regional and international factors to Latin America's business cycle," Economic Modelling, Elsevier, vol. 28(3), pages 1235-1246, May.
  32. Everaert, Gerdie & Jansen, Stijn, 2018. "On the estimation of panel fiscal reaction functions: Heterogeneity or fiscal fatigue?," Economic Modelling, Elsevier, vol. 70(C), pages 87-96.
  33. Kamiar Mohaddes & Mehdi Raissi, 2019. "The US oil supply revolution and the global economy," Empirical Economics, Springer, vol. 57(5), pages 1515-1546, November.
  34. Liqian Cai & Arnab Bhattacharjee & Roger Calantone & Taps Maiti, 2019. "Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 146-200, September.
  35. Mohaddes, Kamiar & Pesaran, M. Hashem, 2017. "Oil prices and the global economy: Is it different this time around?," Energy Economics, Elsevier, vol. 65(C), pages 315-325.
  36. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2016. "Exponent of Cross‐Sectional Dependence: Estimation and Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(6), pages 929-960, September.
  37. Julius Stakenas & Rasa Stasiukynaite, 2016. "Monetary policy transmission: the case of Lithuania," Bank of Lithuania Working Paper Series 24, Bank of Lithuania.
  38. Jackson, Laura E. & Owyang, Michael T. & Zubairy, Sarah, 2018. "Debt and stabilization policy: Evidence from a Euro Area FAVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
  39. Bettendorf, Timo, 2013. "Feeding the Global VAR with theory: Is German wage moderation to blame for European imbalances?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79710, Verein für Socialpolitik / German Economic Association.
  40. Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
  41. Lombardi, Marco J. & Galesi, Alessandro, 2009. "External shocks and international inflation linkages: a global VAR analysis," Working Paper Series 1062, European Central Bank.
  42. Kok, Christoffer & Gross, Marco & Żochowski, Dawid, 2016. "The impact of bank capital on economic activity - evidence from a mixed-cross-section GVAR model," Working Paper Series 1888, European Central Bank.
  43. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2016. "A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 249-280, January.
  44. Ansgar H. Belke & Thomas U. Osowski, 2019. "Measuring fiscal spillovers in EMU and beyond: A Global VAR approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 54-93, February.
  45. Carlos Medel, 2017. "Forecasting Chilean inflation with the hybrid new keynesian Phillips curve: globalisation, combination, and accuracy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(3), pages 004-050, December.
  46. Carvalho, Carlos & Masini, Ricardo & Medeiros, Marcelo C., 2018. "ArCo: An artificial counterfactual approach for high-dimensional panel time-series data," Journal of Econometrics, Elsevier, vol. 207(2), pages 352-380.
  47. Chudik, Alexander & Pesaran, M. Hashem, 2019. "Mean group estimation in presence of weakly cross-correlated estimators," Economics Letters, Elsevier, vol. 175(C), pages 101-105.
  48. Ostadzad, Ali Hossein, 2022. "Innovation and carbon emissions: Fixed-effects panel threshold model estimation for renewable energy," Renewable Energy, Elsevier, vol. 198(C), pages 602-617.
  49. Ying Fan & Charles Ka Yui Leung & Zan Yang, 2022. "Financial conditions, local competition, and local market leaders: The case of real estate developers," Pacific Economic Review, Wiley Blackwell, vol. 27(2), pages 131-193, May.
  50. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Fiscal spillovers in the Euro area," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 84.1-84.16.
  51. Victor Echevarria Icaza & Simón Sosvilla-Rivero, 2017. "Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach," Working Papers 17-01, Asociación Española de Economía y Finanzas Internacionales.
  52. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
  53. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
  54. Jakšić Saša, 2022. "Modelling Determinants of Inflation in CESEE Countries: Global Vector Autoregressive Approach," Review of Economic Perspectives, Sciendo, vol. 22(1), pages 137-169, June.
  55. Shobande, Olatunji A. & Asongu, Simplice A., 2022. "The Critical Role of Education and ICT in Promoting Environmental Sustainability in Eastern and Southern Africa: A Panel VAR Approach," Technological Forecasting and Social Change, Elsevier, vol. 176(C).
  56. Chudik, Alexander & Mohaddes, Kamiar & Pesaran, M. Hashem & Raissi, Mehdi & Rebucci, Alessandro, 2021. "A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model," Journal of International Money and Finance, Elsevier, vol. 119(C).
  57. Steven Trypsteen, 2014. "Cross-Country Interactions, the Great Moderation and the Role of Output Volatility in Growth," Discussion Papers 2014/14, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  58. Mardi Dungey & Renée Fry, 2003. "International Shocks on Australia – The Japanese Effect," Australian Economic Papers, Wiley Blackwell, vol. 42(2), pages 158-182, June.
  59. Piotr Kębłowski, 2021. "GVAR: A Case of Spurious Cross-Sectional Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 175-187, June.
  60. Hajek, Jan & Horvath, Roman, 2018. "International spillovers of (un)conventional monetary policy: The effect of the ECB and the US Fed on non-euro EU countries," Economic Systems, Elsevier, vol. 42(1), pages 91-105.
  61. Lu, Yunzhi & Li, Jie & Yang, Haisheng, 2021. "Time-varying inter-urban housing price spillovers in China: Causes and consequences," Journal of Asian Economics, Elsevier, vol. 77(C).
  62. Kempa, Bernd & Khan, Nazmus Sadat, 2017. "Spillover effects of debt and growth in the euro area: Evidence from a GVAR model," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 102-111.
  63. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
  64. Dreger, Christian & Wolters, Jürgen, 2011. "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1, pages 43-52.
  65. Ronald A. Ratti & Joaquin L. Vespignani, 2015. "What drives the global interest rate," Globalization Institute Working Papers 241, Federal Reserve Bank of Dallas.
  66. Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
  67. Tonmoy Chatterjee & Nilendu Chatterjee, 2022. "Does Innovation Make Nations More Healthy? Evidence from Developing and Developed Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(4), pages 3296-3325, December.
  68. Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009. "Modelling global trade flows: results from a GVAR model," Working Paper Series 1087, European Central Bank.
  69. Huayi Yu & Yanfen Huang, 2016. "Regional heterogeneity and the trans-regional interaction of housing prices and inflation: Evidence from China’s 35 major cities," Urban Studies, Urban Studies Journal Limited, vol. 53(16), pages 3472-3492, December.
  70. Gossé, Jean-Baptiste & Guillaumin, Cyriac, 2013. "L’apport de la représentation VAR de Christopher A. Sims à la science économique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 309-319, Décembre.
  71. Akbari Dehbaghi, Simin & Arman, Seyed Aziz & Ahangari, Majid, 2020. "The Impact of Domestic and Foreign Monetary Policy on Iran\'s economy: Global Modeling," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 151-180, April.
  72. M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2005. "What if the UK had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR," CESifo Working Paper Series 1477, CESifo.
  73. Shafik Hebous, 2011. "The Effects Of Discretionary Fiscal Policy On Macroeconomic Aggregates: A Reappraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 25(4), pages 674-707, September.
  74. Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
  75. Issouf Samaké & Yongzheng Yang, 2011. "Low-Income Countries' BRIC Linkage: Are there Growth Spillovers?," IMF Working Papers 2011/267, International Monetary Fund.
  76. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
  77. Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
  78. Vansteenkiste, Isabel & Hiebert, Paul, 2011. "Do house price developments spillover across euro area countries? Evidence from a global VAR," Journal of Housing Economics, Elsevier, vol. 20(4), pages 299-314.
  79. International Monetary Fund, 2016. "Cross-Country Report on Spillovers: Selected Issues," IMF Staff Country Reports 2016/212, International Monetary Fund.
  80. Schanne, N. & Wapler, R. & Weyh, A., 2010. "Regional unemployment forecasts with spatial interdependencies," International Journal of Forecasting, Elsevier, vol. 26(4), pages 908-926, October.
  81. Ludovic Gauvin & Cyril C. Rebillard, 2018. "Towards recoupling? Assessing the global impact of a Chinese hard landing through trade and commodity price channels," The World Economy, Wiley Blackwell, vol. 41(12), pages 3379-3415, December.
  82. Arnab Bhattacharjee & Sean Holly, 2013. "Understanding Interactions in Social Networks and Committees," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(1), pages 23-53, March.
  83. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
  84. Lloyd, Simon & Manuel, Ed & Panchev, Konstantin, 2021. "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers 940, Bank of England.
  85. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
  86. Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2021. "Uncertainty spill-overs: when policy and financial realms overlap," Papers 2102.06404, arXiv.org.
  87. Zhang, Ren Jie & Razzaq, Asif, 2022. "Influence of economic policy uncertainty and financial development on renewable energy consumption in the BRICST region," Renewable Energy, Elsevier, vol. 201(P1), pages 526-533.
  88. Skrypnik, D., 2014. "The Spillover Effects of Quantitative Easing in the United States for Russian Economy. Macroeconometric Analysis," Journal of the New Economic Association, New Economic Association, vol. 22(2), pages 74-101.
  89. Katrin Assenmacher-Wesche & Stefan Gerlach, 2008. "Monetary policy, asset prices and macroeconomic conditions : a panel-VAR study," Working Paper Research 149, National Bank of Belgium.
  90. Konstantakis, Konstantinos N. & Soklis, George & Michaelides, Panayotis G., 2017. "Tourism expenditures and crisis transmission: A general equilibrium GVAR analysis with network theory," Annals of Tourism Research, Elsevier, vol. 66(C), pages 74-94.
  91. Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2016. "Forecasting global recessions in a GVAR model of actual and expected output," International Journal of Forecasting, Elsevier, vol. 32(2), pages 374-390.
  92. Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2016. "Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 197-213, February.
  93. Maximilian Böck & Martin Feldkircher & Florian Huber, 2020. "BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R," Globalization Institute Working Papers 395, Federal Reserve Bank of Dallas.
  94. M. Hashem Pesaran, 2021. "General diagnostic tests for cross-sectional dependence in panels," Empirical Economics, Springer, vol. 60(1), pages 13-50, January.
  95. Deng, Wei & Akram, Rabia & Mirza, Nawazish, 2022. "Economic performance and natural resources: Evaluating the role of economic risk," Resources Policy, Elsevier, vol. 78(C).
  96. Alexander Chudik & M. Hashem Pesaran & Kamiar Mohaddes, 2020. "Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 143-189, Emerald Group Publishing Limited.
  97. Jan Hájek & Roman Horváth, 2016. "The Spillover Effect of Euro Area on Central and Southeastern European Economies: A Global VAR Approach," Open Economies Review, Springer, vol. 27(2), pages 359-385, April.
  98. Allegret, Jean-Pierre & Mignon, Valérie & Sallenave, Audrey, 2015. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Economic Modelling, Elsevier, vol. 49(C), pages 232-247.
  99. Nils Jannsen, 2010. "National and International Business Cycle Effects of Housing Crises," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(2), pages 175-206.
  100. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2022. "APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1625-1658, November.
  101. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
  102. Georgios Magkonis & Simon Rudkin, 2019. "Does Trilemma Speak Chinese?," Working Papers in Economics & Finance 2019-01, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  103. Cesa-Bianchi, Ambrogio & Imbs, Jean & Saleheen, Jumana, 2019. "Finance and synchronization," Journal of International Economics, Elsevier, vol. 116(C), pages 74-87.
  104. Ágnes Csermely & Péter Harasztosi & Gábor Pellényi, 2012. "Opportunities and challenges – the impact of Chinese competition on Hungarian manufacturing," Chapters, in: Ewald Nowotny & Peter Mooslechner & Doris Ritzberger-Grünwald (ed.), European Integration in a Global Economy, chapter 11, pages 106-118, Edward Elgar Publishing.
  105. Mohd Afjal & Chinnadurai Kathiravan & Leo Paul Dana & Chitra Devi Nagarajan, 2023. "The Dynamic Impact of Financial Technology and Energy Consumption on Environmental Sustainability," Sustainability, MDPI, vol. 15(12), pages 1-21, June.
  106. Elena Pesavento & Barbara Rossi, 2006. "Small‐sample confidence intervals for multivariate impulse response functions at long horizons," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1135-1155, December.
  107. Artha Hoxha, 2018. "Explaining the impact of the global financial crisis on European transition countries: a GVAR approach," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2-18, pages 81-97.
  108. Kapetanios, G. & Pesaran, M.H., 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," Cambridge Working Papers in Economics 0520, Faculty of Economics, University of Cambridge.
  109. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
  110. Fabio Milani, 2021. "COVID-19 outbreak, social response, and early economic effects: a global VAR analysis of cross-country interdependencies," Journal of Population Economics, Springer;European Society for Population Economics, vol. 34(1), pages 223-252, January.
  111. Bicu, A.C. & Lieb, L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
  112. Zubarev, A. & Rybak, K., 2022. "The impact of global shocks on the Russian economy: FAVAR approach," Journal of the New Economic Association, New Economic Association, vol. 56(4), pages 48-68.
  113. Pesaran, M. Hashem & Tosetti, Elisa, 2011. "Large panels with common factors and spatial correlation," Journal of Econometrics, Elsevier, vol. 161(2), pages 182-202, April.
  114. Holinski, N. & Vermeulen, R., 2009. "The international wealth effect : a global error-correcting analysis," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  115. Thanda Sithole & Beatrice D. Simo-Kengne & Modeste Some, 2017. "The role of financial conditions in transmitting external shocks to South Africa," International Economics, CEPII research center, issue 150, pages 36-56.
  116. Moisa Altar & Adam-Nelu Altar-Samuel & Ioana Marcu, 2014. "Measuring Systemic Risk using Contingent Claims Analysis (CCA)," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 22-48, December.
  117. Alessandro Rebucci & Ambrogio Cesa-Bianchi & M. Hashem Pesaran & TengTeng Xu, 2012. "China's Emergence in the World Economy and Business Cycles in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 1-75, January.
  118. Todd Sarnstrom & Michael Ryan, 2023. "Third‐country exchange rate effects on foreign direct investment flows: A global vector autoregessive approach," Review of International Economics, Wiley Blackwell, vol. 31(2), pages 522-549, May.
  119. Fabio Bagliano & Claudio Morana, 2010. "Business cycle comovement in the G-7: common shocks or common transmission mechanisms?," Applied Economics, Taylor & Francis Journals, vol. 42(18), pages 2327-2345.
  120. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2016. "The World Is Not Enough! Small Open Economies and Regional Dependence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 118(1), pages 168-195, January.
  121. André K. Anundsen & Karsten Gerdrup & Frank Hansen & Kasper Kragh‐Sørensen, 2016. "Bubbles and Crises: The Role of House Prices and Credit," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1291-1311, November.
  122. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012. "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series wp2012n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  123. Kirstin Hubrich & Guenter Beck & Massimiliano Marcellino, 2000. "Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the US," Regional and Urban Modeling 283600037, EcoMod.
  124. Norbert Schanne, 2011. "Forecasting Regional Labour Markets with GVAR Models and Indicators (refereed paper)," ERSA conference papers ersa10p1044, European Regional Science Association.
  125. Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
  126. Asif Khan & Wu Ximei, 2022. "Digital Economy and Environmental Sustainability: Do Information Communication and Technology (ICT) and Economic Complexity Matter?," IJERPH, MDPI, vol. 19(19), pages 1-21, September.
  127. Miguel Á. Tinoco-Zermeño, 2023. "Energy consumption, financial development, CO2 emissions, and economic growth in 23 developing economies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(1), pages 1-24, Enero - M.
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