-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any … short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United …

notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the … in forecasting the aggregate. We show theoretically that the first method of forecasting the aggregate should outperform … findings and analyse why forecasting the aggregate using information on its disaggregate components improves forecast accuracy …

This paper estimates the effects of exogenous fiscal policy shocks in Spain in a VAR framework. Government expenditure …

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …

help predicting euro area GDP. We investigate whether financial variables provide additional predictive power. We use a VAR … adding financial variables yields smaller errors in fore-casting US economic activity, especially at a five- quarter horizon …. When forecasting ability is assessed as if in real time (i.e. conditionally on the information available at the time when …

and macroeconomic variables in a VAR framework. From impulse-response functions the results, with annual data for a set of …

empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in …

(2005) and a large scale model, introducing the sign restrictions approach to the global VAR (GVAR) literature, that allows …

the basis of a VAR analysis, the study finds that i) global money demand shocks affect global inflation and also global …