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-specific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …
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Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
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risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we …
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daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …
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observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …
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