This paper examines the effects of climate policies and energy shocks on mean and volatility spillovers between green and brown stock price indices in five countries (Canada, India, Japan, the UK and the US). More specifically, bivariate GARCH-BEKK models including dummy variables controlling...

Macroeconomic research often relies on structural vector autoregressions, (S)VARs, to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag-lengths imply a poor approximation to important data-generating processes (e.g. DSGE-models). Empirically,...

We investigate the macroeconomic effects of two recent major geopolitical events on the euro area economy, namely, the outbreak of the Israel-Hamas war and the Russian invasion of Ukraine. To take into account the heterogeneity of geopolitical events, we do not seek to identify a homogeneous...

We consider the applicability of simple statistical models to Russia's short-term economic trends in a wartime context. We develop several composite indicators combining economic variables to predict Russian GDP trends both before and after the invasion if Ukraine in 2022. In addition, our SVAR...