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Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

Persistent link: https://www.econbiz.de/10003976664

Structural FECM : cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2014

Persistent link: https://www.econbiz.de/10010363312

U-MIDAS : MIDAS regressions with unrestricted lag polynomials

Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2012

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Large time-varying parameter VARs : a non-parametric approach

Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2016

Persistent link: https://www.econbiz.de/10011571327

Time variation in macro-financial linkages

Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013

Persistent link: https://www.econbiz.de/10009745589

Time variation in macro-financial linkages

Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013

We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...