Dees, Stephane; Mauro, Filippo di; Pesaran, M. Hashem; … - Society for Computational Economics - SCE - 2006
for the analysis of the comovements of outputs,
inflation, interest rates, exchange rates and equity prices. To deal with … effects of bond markets on output, inflation and equity prices.
(ii) It provides a theoretical framework where the GVAR is … compared to real output and inflation. While the impact of an oil price shock
on inflation is statistically significant, its …