Geopolitical conflicts generate macroeconomic spillovers that extend beyond directly affected countries through trade and commodity linkages. This paper quantifies these effects for Germany, France, Italy, and Spain using a monthly Trade-Related Conflict Exposure (TRCE) index for 2009–2023...

We extend the heteroskedasticity IV estimator of Rigobon and Sack (2004) from one to multiple monetary policy shocks by imposing recursive zero restrictions on the impact matrix. Unlike high-frequency identification, the approach requires neither intraday tick data nor precise announcement...

The interplay between fiscal and monetary policy is critical for small open economies exposed to global volatility, yet the regime-dependent nature of this transmission often remains underexplored. This study investigates whether the Hungarian economy operated under fiscal or monetary dominance...

This paper investigates the nonlinear and state-dependent relationship between inflation surprises and real equity returns across G7 economies. Using monthly data from January 1998 to May 2025, we employ nonlinear local projection models to estimate the dynamic responses of the equity market to...

We present a country-specific measure of supply chain disruptions and compare it with a global counterpart. We identify each measure's macroeconomic role and consider a sectoral extension using the two-digit NACE level of disaggregation and a multi-sector general equilibrium model to assess the...

We propose a new model in which relationship-specific e!ects or shocks are identified in a bipartite network under mild covariance restrictions, generalizing the influential Abowd et al. (1999) framework. For example, separate demand shocks are identified for each bank from which a firm borrows....

This study examines the asymmetric responses of stock market indices in Türkiye and Kazakhstan to oil price shocks during the 2010-2025 period. Using the Nonlinear Autoregressive Distributed Lag (NARDL) model, the study decomposes the nonlinear effects of oil price fluctuations on financial...

Japanís prolonged ZLB period alongside substantial debt accumulation makes it a compelling laboratory for testing whether fiscal multipliers differ across normal and ZLB periods. This paper investigates this question using a sign- and zero-restricted TVP-VAR that jointly identifies fiscal rules...

This paper develops a risk-based stress-testing framework for emerging microfinance banks using a structural vector autoregressive (SVAR) approach. The model captures the dynamic transmission of key macroeconomic shocks, including economic activity, monetary policy, and exchange-rate movements,...

This paper examines how monetary tightening transmits to bank credit supply through deposit funding conditions during the 2022-23 cycle. Using a quarterly panel of more than 3,800 US commercial banks, it constructs predetermined exposure indices measuring depositor sophistication, branch...

We assess asymmetries, nonlinearities and state dependencies in dynamic responses of the euro area to monetary policy shocks. The dataset includes macroeconomic, financial, and survey-based variables measuring credit conditions and bank lending transmission channels. These data are observed at...

This paper quantifies the role of housing wealth in the transmission of monetary policy to consumption in 20 advanced economies. Using Bayesian VAR models we identify structural shocks with a novel combination of sign and maximum forecast error variance restrictions, isolating the housing wealth...

We design a Bayesian Mixed-Frequency vector autoregression (VAR) model for fiscal monitoring, i.e., to nowcast the government deficit-to-GDP ratio in real time and provide a narrative for its dynamics. The model incorporates both monthly cash and quarterly accrual fiscal indicators, together...

Financial Conditions Indices (FCIs) are a widely used tool for assessing the broader monetary policy stance beyond the central bank's direct control. This paper presents a novel vector autoregressive (VAR) model that includes key macroeconomic variables and maps financial variables into a single...

The continuous expansion of income disparities poses serious threats to sustainable socioeconomic development. Concurrently, as a key driver of technological advancement, the influence of innovation on shaping income inequality trends has been extensively debated. This study employs panel...

In structural vector autoregressive analysis it has become quite popular to identify some structural shocks of interest by external instruments or proxies. This study points out a range of areas where such proxies have been used and sketches the way the proxies have been constructed. It reviews...

This paper investigates credit risk management as a dynamic system. Panel Vector Autoregression (PVAR) is employed to model interrelationships among four key components: Non-Performing Loans (NPLs), Loan Loss Provision (LLP), loan charge-off (LCO) and capital. The Cost-to-Income ratio (CIR) and...

We develop a Trend-Cycle Bayesian VAR that jointly estimates the real neutral rate of interest, r∗t , and identifies monetary policy shocks. A key innovation is that cyclical shocks, notably monetary policy shocks, can affect the trend of macroeconomic variables, providing a way to assess...

We approximate the finite-sample distribution of impulse response function (IRF) estimators that are just-identified with a weak instrument using the conventional local-to-zero asymptotic framework. Since the distribution lacks a mean, we assess bias using the mode and conclude that researchers...

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse...