We estimate the role of news shocks to TFP, foreign interest rates (FIR) and commodity terms of trade (CToT) in explaining the variance of output and other macro aggregates across countries. To correct for small-sample bias in the variance decomposition estimates, we develop a...

For a given risk, the well-known classical definition of Value-at-Risk (VaR) does not take into account possible interactions with other observable risks. For this reason, conditional VaRs that capture contagion effects and tail dependence among risks, such as the Co-Value-at-Risk (CoVaR), have...

This letter applies Siniscalchi (2009)’s Vector Expected Utility to introduce ambiguity aversion into factor models for assets’ returns. The resulting criterion is tractable and its adjustment for ambiguity vanishes as initial wealth increases. Finally, it can be related to shrinkage...

We use a VAR model with two exogenous and eight endogenous variables to evaluate the asymmetric effect of oil price changes on the EUR/USD exchange rate. Parameters of the model are estimated with the Bayesian technique using quarterly data for the U.S. and the Eurozone from 2001 to 2021. To...

The nonlinear effects of uncertainty shocks on U.S. macroeconomic activity are examined using a smooth transition VAR model in which the dynamic relationship between the variables changes with the level of economic policy uncertainty. We find that the responses of the variables change with the...

We study the monetary policy transmission or lack of it in Indian context using a Monetary Business Cycle Accounting (MBCA) framework. The standard MBCA setup consists of a real business cycle model with a central bank following Taylor’s rule augmented with wedges which capture the deviation...

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments...