types of regime switching models: threshold VAR and Markov switching VAR. For each of the models, we estimate regimes which …-of-sample forecasting exercises, and find that the threshold VAR model has the potential to predict tail events in conditional forecasting …

to US real activity on the UK economy. The proposed empirical model is a structural VAR where the volatility of …

global financial crisis. We exploit the changing volatility of the data to fully identify a structural VAR, without imposing …

We identify a 'risk news' shock in a vector autoregression (VAR), modifying Barsky and Sims's procedure, while … incorporating sign restrictions to simultaneously identify monetary policy, technology and demand shocks. The VAR-identifed risk … impulse responses and find that, in order to match the fall in consumption recorded by the VAR, we have to allow for 75% of …