type="main" xml:id="obes12046-abs-0001" <title type="main">Abstract</title> <p>This article considers some of the technical issues involved in using the global vector autoregression (GVAR) approach to construct a multi-country rational expectations (RE) model and illustrates them with a new Keynesian model for 33 countries...</p>

type="main" xml:id="rssa12044-abs-0001" <title type="main">Summary</title> <p>The paper proposes a framework for modelling financial contagion that is based on susceptible–infected–recovered transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a...</p>

This paper examines “leverage” and volatility feedback effects at the firm level by considering both market and firm level effects, using 242 individual firm stock data in the US market. We adopt a panel vector autoregressive framework which allows us to control simultaneously for common...