Aloui, Donia; Benkraiem, Ramzi; Guesmi, Khaled; Vigne, … - 2022
In July 2021, the European central bank (ECB) announced the application of new environmental criteria to purchase private assets as part of its Quantitative Easing (QE) program. Using a Bayesian VAR model with time varying parameters and stochastic volatility (TVP-BVAR-SV), we investigate the...