, the paper applies a newly developed methodology based on infinite VAR theory featuring a dominant unit to a large set of … dollar shock, generalised impulse response function shocks and a global shock to risk aversion. Our results show that the way … depends crucially on the nature of the shock. This result is noteworthy given the apparent divergence in competitiveness …

(a demand shock, an employment shock, a wage and price mark-up shocks). In addition, it provides the shock decomposition …

impact of government spending shocks using time-varying structural VAR techniques. The results show that the short …

euro area as a whole and in its five largest countries. In a Bayesian VAR framework, the two credit supply shocks are …

We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on … economic growth to a fiscal shock are mostly positive in both financial stress regimes; (iii) financial stress has a negative … shock is mainly associated with different behaviour across regimes; (v) the size of the fiscal multipliers is higher than …

from Europe, the US and Japan. The model is used to conduct systematic shock simulations and thereby compute a measure of …

The financial crisis has highlighted the need for models that can identify counter-party risk exposures and shock …

account that banks are related to each other in various market segments. The contagion effects when considering the shock …