This paper investigates the dynamic connectedness of random shocks to housing prices between the 50 U.S. states and the District of Columbia. The paper implements a standard vector autoregressive (VAR) model as well as three VAR models with shrinkage effects - Elastic Net, Lasso, and Ridge VAR...

Utilizing a machine learning technique known as random forests, we study whether regional output growth uncertainty helps to improve the accuracy of forecasts of regional output growth for 12 regions of the UK using monthly data for the period from 1970 to 2020. We use a stochastic volatility...

This paper examines the role of monetary policy (MP) as a driver of connectedness patterns in speculative activities in financial markets. Examining measures of speculation in four major markets including gold, equities, Treasury bonds and crude oil, we show that speculative activities can spill...

Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of uncertainty between economies, examining potential spillover effect between the U.S., the E.U.,...