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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

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...

Persistent link: https://www.econbiz.de/10008937395

In Plato's cave : sharpening the shadows of monetary announcements

Gallo, Giampiero M.; Marcellino, Massimiliano - 1996

Persistent link: https://www.econbiz.de/10000952221

Forecasting with large unbalanced datasets : the mixed frequency three-pass regression filter

Hepenstrick, Christian; Marcellino, Massimiliano - 2016

but compares well to alternative mixed frequency factor estimation procedures in terms of theoretical properties, finite …

Persistent link: https://www.econbiz.de/10011541230

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

Persistent link: https://www.econbiz.de/10011389735

Time variation in macro-financial linkages

Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - In: Journal of applied econometrics 31 (2016) 7, pp. 1215-1233

Persistent link: https://www.econbiz.de/10011687454

On the importance of sectoral and regional shocks for price-setting

Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - In: Journal of applied econometrics 31 (2016) 7, pp. 1234-1253

Persistent link: https://www.econbiz.de/10011687460

Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127

Persistent link: https://www.econbiz.de/10011691233

Explaining the time-varying effects of oil market shocks on US stock returns

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: Economics letters 155 (2017), pp. 84-88

Persistent link: https://www.econbiz.de/10011821575

Explaining the time-varying effects of oil market shocks on U.S. stock returns

Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - 2017 - This version: February 20, 2017

Persistent link: https://www.econbiz.de/10011805636