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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
diagnostics when applied to the post 2007 period that includes the recent financial crisis. -- volatilities and correlations …
Persistent link: https://www.econbiz.de/10003965868
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Exploring the international linkages of the euro area : a global VAR analysis
Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005
the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …
Persistent link: https://www.econbiz.de/10002746106
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Identification of new Keynesian Phillips Curves from a global perspective
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008
Persistent link: https://www.econbiz.de/10003641659
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Infinite dimensional VARs and factor models
Chudik, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003624878
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Country-specific oil supply shocks and the global economy : a counterfactual analysis
Mohaddes, Kamiar; Pesaran, M. Hashem - 2015
This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...
Persistent link: https://www.econbiz.de/10010528313
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Theory and practice of GVAR modeling
Chudik, Alexander; Pesaran, M. Hashem - 2014
global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper …
Persistent link: https://www.econbiz.de/10010354717
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Uncertainty and economic activity : a global perspective
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we …
Persistent link: https://www.econbiz.de/10010338658
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Forecasting economic and financial variables with global VARs
Pesaran, M. Hashem (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003662971
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A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020
observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …
Persistent link: https://www.econbiz.de/10012293790
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Identifying global and national output and fiscal policy shocks using a GVAR
Chudik, Alexander; Pesaran, M. Hashem; Mohaddes, Kamiar - 2019
The paper contributes to the growing global VAR (GVAR) literature by showing how global and national shocks can be identified within a GVAR framework. The usefulness of the proposed approach is illustrated in an application to the analysis of the interactions between public debt and real output...
Persistent link: https://www.econbiz.de/10011956353