Search Results - subject:"Global Vector Autoregressive"

The three co’s to jointly model commodity markets : co-production, co-consumption and co-trading

Schischke, Amelie; Papenfuß, Patric; Rathgeber, Andreas W. - In: Empirical economics : a quarterly journal of the … 66 (2024) 2, pp. 883-925

Persistent link: https://www.econbiz.de/10014519718

The three co’s to jointly model commodity markets: co-production, co-consumption and co-trading

Schischke, Amelie; Papenfuß, Patric; Rathgeber, Andreas - In: Empirical Economics 66 (2023) 2, pp. 883-925

In this study, we develop a framework, based on a global vector autoregression (GVAR) model, to unite two perspectives on commodity markets, the commodity-specific, single-market-centered approach, investigating the micro- and macroeconomic drivers of commodity prices, and the market...

Persistent link: https://www.econbiz.de/10015191387

The effect of US uncertainty shock on international equity markets : the role of the global financial cycle

Salisu, Afees A.; Gupta, Rangan; Adediran, Idris A. - In: Review of Economic Analysis : REA 15 (2023) 2, pp. 139-159

We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector … Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity prices of 32 …

Persistent link: https://www.econbiz.de/10014310354

Gold and the global financial cycle

Salisu, Afees A.; Gupta, Rangan; Ntyikwe, Siphesihle; … - In: Quantitative finance and economics 7 (2023) 3, pp. 475-490

Persistent link: https://www.econbiz.de/10015125314

The three co’s to jointly model commodity markets: co-production, co-consumption and co-trading

Schischke, Amelie; Papenfuß, Patric; Rathgeber, Andreas - In: Empirical Economics 66 (2023) 2, pp. 883-925

Persistent link: https://www.econbiz.de/10015400912

Oil price uncertainty shocks and global equity markets: Evidence from a GVAR model

Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-26

Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the …This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global …

Persistent link: https://www.econbiz.de/10014332556

Oil price uncertainty shocks and global equity markets : evidence from a GVAR model

Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-26

Persistent link: https://www.econbiz.de/10013380496

Economic policy uncertainty and international tourism demand : a global vector autoregressive approach

Kuok, Rockie U Kei; Koo, Tay T. R.; Lim, Christine - In: Journal of travel research : a quarterly publication of … 62 (2023) 3, pp. 540-562

Persistent link: https://www.econbiz.de/10014245425

Measuring international uncertainty using global vector autoregressions with drifting parameters

Pfarrhofer, Michael - 2019

vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global …

Persistent link: https://www.econbiz.de/10012271234

The regional transmission of uncertainty shocks on income inequality in the United States

Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael - 2019

Persistent link: https://www.econbiz.de/10011988310