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Given inflation’s crucial role as a key economic barometer, our paper investigates the dynamic inflation spillover between the U.S. and the nine emerging and growth-leading economies (EAGLEs) between 1991M1 and 2020M2. Employing the recently developed time-varying parameter vector...
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This paper comprehensively discusses the dynamic relationship between commodities and commodity currencies, particularly during the U.S. quantitative easing (QEs), by integrating the generalized spillover index into a fractionally integrated VAR (FIVAR) model. Our empirical analyses reach the...
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