and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures’ volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

. Using historical data from 1973 to 2012 and vector autoregression (VAR)-based impulse response functions, we find a positive …

This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty … stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to … - restrictions related to these two dates, we estimate the finance uncertainty multiplier to be equal to 2, i.e., credit supply …

. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in … various credit spread indicators considered in the macro-finance literature. The decline in the credit spread indicators is …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un …