volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR …

the shocks to the overall volatility, and the welfare implications of regime changes in general equilibrium models. Then … generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability …

Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than … benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that … quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data generate the most …

and what assumptions we have made in doing so. Furthermore, we perform a VAR analysis to provide some simple empirical …

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on … improve on VAR forecasts. …

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an …

find that, consistent with standard theory, these shocks raise relative consumption, deteriorate net exports, and raise the …