Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...
In the heat of severe global macroeconomic volatility, monetary authorities in the developing world are faced with the challenge of identifying the sources of such volatilities in their countries.
After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
Using the generalized value-at-risk method of Diebold and Yilmaz in their 2009 paper "Measuring financial asset return and volatility spillovers, with application to global equity markets" to measure ...
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Abstract: This paper examines the sustainability of fiscal policy under uncertainty in three emerging market countries—Brazil, Mexico, and Turkey. For each country, we estimate a vector autoregression ...
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