This paper contributes to the existing empirical literature by exploring the asymmetric impact of supply-driven and demand-driven oil price shocks on the economic performance of oil exporting countries. The study is carried out using the panel vector autoregression (P-VAR) framework and annual...

This paper proposes a new and direct approach to Kilian--Lewis counterfactual analysis in structural VAR models. The proposed approach is easy to implement, and the process of model construction is more transparent. Practitioners conducting Kilian--Lewis counterfactual analysis should find the...

The paper adds money supply and inflation expectations shocks to a well-known three-variable structural model that identifies oil price shocks through fundamentals affecting the oil market. Impulse responses show the significance of our two additional monetary shocks in impacting real oil...

This paper examines the connectedness between oil and stock markets using the WTI oil price and 10 S&P 500 price subindices data from 1989 to 2021. We present a novel approach for constructing a connectedness index based on a dynamic stochastic general equilibrium (DSGE) model with Bayesian...

The relationship between uncertainty and economic activity has attracted substantial interest in recent macroeconomics literature. Empirical work has mostly focused on short-run and medium-term effects of uncertainty shocks. However, there are a number of mechanisms that may cause a response of...

The availability of high-frequency trading data and developments in computing technology make it possible to evaluate Intraday Value-at-Risk (IVaR), a useful risk management tool for investors and regulators. In this paper, we propose a new model to evaluate and predict the IVaR for stocks based...

Given the global resolve to transit away from traditional energy sources toward a low carbon economy, companies are under increasing pressure to grapple with the tension between longterm business sustainability and short-term energy threat. To assess how companies react to this intertemporal...

Research and development (R&D) investments are strategic choices that firms make to create and sustain competitive advantage. Extant literature proposes that firms’ R&D investments and their profitability and capital market performance are reciprocally related. However, the direction of these...

Applying a proposed spillover index of high-dimensional generalized VAR framework, this paper, for the first time, explores housing price spillovers among 69 large- and medium-sized Chinese cities from July 2005 to June 2015. We find that city-level monthly housing prices in China are highly...