residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization … “almost recursively identified approach with parameter restrictions” leads to a solution that avoids an estimation bias …

by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF …

strategy exploits the heterogeneous impact of the shock on importers. The results indicate that this relatively minor, non …-localized shock had a non-trivial economic impact on exposed firms and propagated downstream through affected suppliers. Additional … empirical tests, motivated by a simple theory, demonstrate that low-liquidity firms amplified its transmission …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …