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The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR

Abbate, Angela; Eickmeier, Sandra; Lemke, Wolfgang; … - In: Journal of money, credit and banking : JMCB 48 (2016) 4, pp. 573-601

Persistent link: https://www.econbiz.de/10011615515

Macroeconomic forecasting during the Great Recession : the return of non-linearity?

Ferrara, Laurent; Marcellino, Massimiliano; Mogliani, Matteo - 2012

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The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011

Persistent link: https://www.econbiz.de/10009011917

Macroeconomic forecasting during the great recession : the return of non-linearity?

Ferrara, Laurent; Marcellino, Massimiliano; Mogliani, Matteo - 2013

Persistent link: https://www.econbiz.de/10009715172

The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...