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Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

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Cited by:

  1. Gian Paulo Soave, 2023. "A panel threshold VAR with stochastic volatility-in-mean model: an application to the effects of financial and uncertainty shocks in emerging economies," Applied Economics, Taylor & Francis Journals, vol. 55(4), pages 397-431, January.
  2. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2020. "Economic Policy Uncertainty Spillovers in Booms and Busts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
  3. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  4. Clausen Volker & Schlösser Alexander & Thiem Christopher, 2019. "Economic Policy Uncertainty in the Euro Area: Cross-Country Spillovers and Macroeconomic Impact," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 957-981, October.
  5. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
  6. Zahra Naoar Masih, 2017. "Causality between Defence Spending and Economic Growth in Sub-Saharan Africa: Evidence on a Controversial Empirical Issue," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 169-177.
  7. Pierre Mabille, 2019. "Aggregate Precautionary Savings Motives," 2019 Meeting Papers 344, Society for Economic Dynamics.
  8. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Dynamic effects of monetary policy shocks on macroeconomic volatility," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 262-282.
  9. Mansur, Alfan, 2023. "Capital flow volatility regimes and monetary policy dilemma: Evidence from New Zealand," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
  10. Tyler Atkinson & Michael Plante & Alexander Richter & Nathaniel Throckmorton, 2022. "Complementarity and Macroeconomic Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 44, pages 225-243, April.
  11. Taifeng Yang & Xuetao Huang & Yue Wang & Houjian Li & Lili Guo, 2022. "Dynamic Linkages among Climate Change, Mechanization and Agricultural Carbon Emissions in Rural China," IJERPH, MDPI, vol. 19(21), pages 1-24, November.
  12. Mr. Jorge A Chan-Lau, 2017. "Variance Decomposition Networks: Potential Pitfalls and a Simple Solution," IMF Working Papers 2017/107, International Monetary Fund.
  13. 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.
  14. Li Wang & Jinyang Tang & Mengqian Tang & Mengying Su & Lili Guo, 2022. "Scale of Operation, Financial Support, and Agricultural Green Total Factor Productivity: Evidence from China," IJERPH, MDPI, vol. 19(15), pages 1-18, July.
  15. Pierre L. Siklos & Martin Stefan & Claudia Wellenreuther, 2020. "Metal prices made in China? A network analysis of industrial metal futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1354-1374, September.
  16. Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
  17. Gaysset, Isabelle & Lagoarde-Segot, Thomas & Neaime, Simon, 2019. "Twin deficits and fiscal spillovers in the EMU's periphery. A Keynesian perspective," Economic Modelling, Elsevier, vol. 76(C), pages 101-116.
  18. Böhl, Gregor & Strobel, Felix, 2020. "US business cycle dynamics at the zero lower bound," IMFS Working Paper Series 143, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  19. Beckmann, Joscha & Davidson, Sharada Nia & Koop, Gary & Schüssler, Rainer, 2023. "Cross-country uncertainty spillovers: Evidence from international survey data," Journal of International Money and Finance, Elsevier, vol. 130(C).
  20. Timo Bettendorf & Reinhold Heinlein, 2023. "Connectedness between G10 currencies: Searching for the causal structure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3938-3959, October.
  21. Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
  22. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
  23. 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).
  24. Pierre L. Siklos, 2020. "U.S. Monetary Policy since the 1950s and the Changing Content of FOMC Minutes," Southern Economic Journal, John Wiley & Sons, vol. 86(3), pages 1192-1213, January.
  25. Donadelli, Michael & Grüning, Patrick, 2021. "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  26. Caggiano, Giovanni & Castelnuovo, Efrem & Figueres, Juan Manuel, 2017. "Economic policy uncertainty and unemployment in the United States: A nonlinear approach," Economics Letters, Elsevier, vol. 151(C), pages 31-34.
  27. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  28. Wu, Gabriel Shui Tang & Leung, Pak Ho, 2023. "Do asset-backed stablecoins spread crypto volatility to traditional financial assets? Evidence from Tether," Economics Letters, Elsevier, vol. 229(C).
  29. Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  30. Cui, Yu & Khan, Sufyan Ullah & Sauer, Johannes & Kipperberg, Gorm & Zhao, Minjuan, 2023. "Agricultural carbon footprint, energy utilization and economic quality: What causes what, and where?," Energy, Elsevier, vol. 278(PA).
  31. Härdle, Wolfgang Karl & Chen, Shi & Liang, Chong & Schienle, Melanie, 2018. "Time-varying Limit Order Book Networks," IRTG 1792 Discussion Papers 2018-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  32. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir & Gurcan Aygun & Mark E. Wohar, 2022. "Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies," Empirical Economics, Springer, vol. 63(4), pages 1741-1769, October.
  33. Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2017. "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," 2017 Meeting Papers 258, Society for Economic Dynamics.
  34. Stolbov, Mikhail & Shchepeleva, Maria & Karminsky, Alexander, 2022. "When central bank research meets Google search: A sentiment index of global financial stress," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  35. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
  36. Yoshihiko Hogen & Yoshiyasu Koide & Yuji Shinozaki, 2022. "Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks," Bank of Japan Working Paper Series 22-E-14, Bank of Japan.
  37. Ahmed, Khalid & Rehman, Mujeeb Ur & Ozturk, Ilhan, 2017. "What drives carbon dioxide emissions in the long-run? Evidence from selected South Asian Countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 70(C), pages 1142-1153.
  38. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
  39. Lyu, Yongjian & Yi, Heling & Cao, Jin & Yang, Mo, 2022. "Time-varying monetary policy shocks and the dynamics of Chinese commodity prices," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
  40. Balcilar, Mehmet & Roubaud, David & Usman, Ojonugwa & Wohar, Mark E., 2021. "Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries," Energy Economics, Elsevier, vol. 98(C).
  41. Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
  42. Nhlangwini, Pamela & Mongale, Itumeleng Pleasure, 2019. "Mining Production and Economic Growth Nexus," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 103-116.
  43. Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021. "The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
  44. Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
  45. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  46. Ghosh, Bikramaditya & Gubareva, Mariya & Ghosh, Anandita & Paparas, Dimitrios & Vo, Xuan Vinh, 2024. "Food, energy, and water nexus: A study on interconnectedness and trade-offs," Energy Economics, Elsevier, vol. 133(C).
  47. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the Zero Lower Bound," European Economic Review, Elsevier, vol. 100(C), pages 257-272.
  48. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  49. Joshua Bernstein & Michael D. Plante & Alexander W. Richter & Nathaniel A. Throckmorton, 2021. "Countercyclical Fluctuations in Uncertainty are Endogenous," Working Papers 2109, Federal Reserve Bank of Dallas.
  50. Feldkircher, Martin & Siklos, Pierre L., 2019. "Global inflation dynamics and inflation expectations," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 217-241.
  51. Maksim Isakin & Phuong V. Ngo, 2020. "Variance Decomposition Analysis for Nonlinear Economic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1362-1374, December.
  52. Raul Ibarra, 2016. "How important is the credit channel in the transmission of monetary policy in Mexico?," Applied Economics, Taylor & Francis Journals, vol. 48(36), pages 3462-3484, August.
  53. Alexander M. Karminsky & Ekaterina V. Seryakova, 2019. "Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 119-129, October.
  54. Houjian Li & Xiaolei Zhou & Mengqian Tang & Lili Guo, 2022. "Impact of Population Aging and Renewable Energy Consumption on Agricultural Green Total Factor Productivity in Rural China: Evidence from Panel VAR Approach," Agriculture, MDPI, vol. 12(5), pages 1-19, May.
  55. Xingwei Hu, 2021. "Decoding Causality by Fictitious VAR Modeling," Papers 2111.07465, arXiv.org, revised Nov 2021.
  56. Chen, Peng & Miao, Xinru, 2024. "Understanding the role of China's factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1464-1483.
  57. Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
  58. Donal Smith, 2016. "The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach," Discussion Papers 16/07, Department of Economics, University of York.
  59. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
  60. David Ubilava, 2018. "The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 100(1), pages 239-263.
  61. Verena Dominique Kouassi & Hongyi Xu & Chukwunonso Philip Bosah & Twum Edwin Ayimadu & Mbula Ngoy Nadege, 2024. "Sustainable Energy Usage for Africa: The Role of Foreign Direct Investment in Green Growth Practices to Mitigate CO 2 Emissions," Energies, MDPI, vol. 17(15), pages 1-23, August.
  62. Kyriaki-Argyro Tsioptsia & Eleni Zafeiriou & Dimitrios Niklis & Nikolaos Sariannidis & Constantin Zopounidis, 2022. "The Corporate Economic Performance of Environmentally Eligible Firms Nexus Climate Change: An Empirical Research in a Bayesian VAR Framework," Energies, MDPI, vol. 15(19), pages 1-16, October.
  63. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven 590528, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
  64. Ghosh, Bikramaditya & Pham, Linh & Gubareva, Mariya & Teplova, Tamara, 2023. "Energy transition metals and global sentiment: Evidence from extreme quantiles," Resources Policy, Elsevier, vol. 86(PA).
  65. Baek, Ingul & Liu, Jia & Noh, Sanha, 2024. "Real estate uncertainty and financial conditions over the business cycle," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 656-675.
  66. Colombo, Valentina & Paccagnini, Alessia, 2020. "Does the credit supply shock have asymmetric effects on macroeconomic variables?," Economics Letters, Elsevier, vol. 188(C).
  67. SBIA, Rashid & Al Rousan, Sahel, 2015. "Does Financial Development Induce Economic Growth in UAE? The Role of Foreign Direct Investment and Capitalization," MPRA Paper 64599, University Library of Munich, Germany.
  68. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
  69. Guangxi Cao & Fei Xie & Meijun Ling, 2022. "Spillover effects in Chinese carbon, energy and financial markets," International Finance, Wiley Blackwell, vol. 25(3), pages 416-434, December.
  70. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
  71. Lili Guo & Shuang Zhao & Yuting Song & Mengqian Tang & Houjian Li, 2022. "Green Finance, Chemical Fertilizer Use and Carbon Emissions from Agricultural Production," Agriculture, MDPI, vol. 12(3), pages 1-18, February.
  72. Namahoro, J.P. & Wu, Q. & Zhou, N. & Xue, S., 2021. "Impact of energy intensity, renewable energy, and economic growth on CO2 emissions: Evidence from Africa across regions and income levels," Renewable and Sustainable Energy Reviews, Elsevier, vol. 147(C).
  73. Sharada Nia Davidson, 2022. "Regional Integration and Decoupling in the Asia Pacific: A Bayesian Panel VAR Approach," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(4), pages 773-807, December.
  74. Strobel, Johannes & Lee, Gabriel & Dorofeenko, Victor & Salyer, Kevin, 2019. "Time-Varying Risk Shocks and the Zero Lower Bound," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203491, Verein für Socialpolitik / German Economic Association.
  75. Namahoro, Jean Pierre & Wu, Qiaosheng & Hui, Su, 2023. "Asymmetric linkage between copper-cobalt productions and economic growth: Evidence from Republic Democratic of Congo," Resources Policy, Elsevier, vol. 83(C).
  76. Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
  77. repec:zbw:bofrdp:2017_006 is not listed on IDEAS
  78. Nam, Kyungsik, 2021. "Investigating the effect of climate uncertainty on global commodity markets," Energy Economics, Elsevier, vol. 96(C).
  79. Christopher Thiem, 2020. "Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility," Open Economies Review, Springer, vol. 31(2), pages 317-342, April.
  80. Luis Alberto Delgado-de-la-Garza & Gonzalo Adolfo Garza-Rodríguez & Daniel Alejandro Jacques-Osuna & Alejandro Múgica-Lara & Carlos Alberto Carrasco, 2021. "Does the use of a big data variable improve monetary policy estimates? Evidence from Mexico," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 383-393.
  81. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2019. "Temperature Volatility Risk," Working Papers 2019:05, Department of Economics, University of Venice "Ca' Foscari".
  82. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the Zero Lower Bound," European Economic Review, Elsevier, vol. 100(C), pages 257-272.
  83. 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).
  84. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2021. "Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 347-394, August.
  85. Maria Bolboaca & Sarah Fischer, 2019. "News Shocks: Different Effects in Boom and Recession?," Working Papers 19.01, Swiss National Bank, Study Center Gerzensee.
  86. Yu, Zhen & Liu, Wei & Yang, Fuyu, 2023. "A central bankers’ sentiment index of global financial cycle," Finance Research Letters, Elsevier, vol. 57(C).
  87. Bikramaditya Ghosh & Dimitrios Paparas, 2023. "Is There Any Pattern Regarding the Vulnerability of Smart Contracts in the Food Supply Chain to a Stressed Event? A Quantile Connectedness Investigation," JRFM, MDPI, vol. 16(2), pages 1-12, January.
  88. Nyholm, Ken, 2016. "US-euro area term structure spillovers, implications for central banks," Working Paper Series 1980, European Central Bank.
  89. Hamill, Philip A. & Li, Youwei & Pantelous, Athanasios A. & Vigne, Samuel A. & Waterworth, James, 2021. "Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  90. Rashid Sbia & Sahel Alrousan, 2016. "Does Financial Development Induce Economic Growth in UAE? The Role of Capitalization and Foreign Direct Investment," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 703-710.
  91. Caloia, Francesco Giuseppe & Cipollini, Andrea & Muzzioli, Silvia, 2019. "How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study," Energy Economics, Elsevier, vol. 84(C).
  92. Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020. "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, vol. 85(C).
  93. Yépez, Carlos & Dzikpe, Francis, 2022. "Accounting for real exchange rates in emerging economies: The role of commodity prices," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 476-492.
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