effect of shocks using generalised spatio-temporal impulse responses. These highlight the diffusion of shocks both over time …

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return …

world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … times since mid-1990s. At the same time, the long-term impact of a US GDP shock has halved, while the transmission of shocks …

output gaps, and can be applied when N is large relative to T (the time dimension of the panel). The proposed test is applied … to output series in the Penn World Tables over 1950-2000, as well as to Maddion's historical series over 1870 …

dominant effects are found. The results also suggest that increase in investment as a share of GDP predict higher growth rate …