This paper focuses on the impact of EU structural funds (SFs) on the GDP per capita of 183 European NUTS2 regions from 1990 to 2016. To allow for the endogeneity of funds allocation to regions, we estimate a bivariate structural panel VAR model, controlling for unobserved heterogeneity through a...

This study investigates the asymmetric effects of oil price shocks on income in a a cointegration framework. Employing the nonlinear auto-regressive distributed lag (NARDL) approach, we show the asymmetric responses of income to changes (shocks) in oil prices in the long-run. More specifically,...

We derive measures of the stances of monetary and fiscal policy within the framework of an empirically plausible extension of the basic New Keynesian model, and jointly estimate them for the United States using a closed form multivariate linear filter. Our theoretical analysis reveals that the...

We investigate the influence of US quality of political signals (USQPOLS) on advanced and emerging markets using the Global Vector Autoregressive (GVAR) model that also accommodates the macroeconomic conditions of the shock recipient markets. We show an immediate negative impact on the equity...

VARs are a popular tool for forecasting and structural analysis, but ill-suited to handle occasionally binding constraints, like the effective lower bound on nominal interest rates. We extend the VAR framework by modeling interest rates as censored observations of a latent shadow-rate process,...

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation when interest rates are not at the ZLB, but also when...

The immense attention to climate change risk has stimulated increasing interest in carbon markets and their linkages to other markets. This study investigates the dynamic volatility spillover relationships between the Chinese carbon and international energy markets, and the impact of extreme...

We propose a novel empirical approach to inform monetary policymakers about the potential effects of policy action when facing trade-offs between financial and macroeconomic stability. We estimate a quantile vector autoregression (QVAR) for the euro area covering the real economy, monetary...

This study investigates whether and how financial technologies (FinTech) influence the effectiveness of monetary policy transmission. We use an interacted panel vector autoregression model to explore how the effects of monetary policy shocks change with regional-level FinTech adoption. Results...