vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …

investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …) significantly reduce foreign net buys, more than global market volatility (VIX). While global volatility drives CDS spreads, these …