This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is...

This paper proposes a new measure of economic policy uncertainty (EPU) for Korea by fine-tuning the keywords and exploiting information drawn from a wide variety of local newspapers. The uniqueness of our new EPU index lies mainly in the fact that it uses a set of keywords that correspond much...

Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques...

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

The main aim of this research is to construct different forecasts for the weight of fiscal revenues in the GDP for Romania on short horizon (2011-2013) by using different types of econometric models. Using annual data from 1995, according to Granger causality test, there is a unidirectional...

We construct a new index of uncertainty — the World Uncertainty Index (WUI) — for 143 individual countries on a quarterly basis from 1996 onwards. This is defined using the frequency of the word “uncertainty” in the quarterly Economist Intelligent Unit country reports. Globally, the...

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

This study explains the effects of crude oil prices on copper and maize prices. Vector autoregressive and vector error correction models are used to study the relationship between oil prices and prices of copper and maize. The commodity price data used consist of average monthly prices of each...

This study's main purpose is to use Bayesian structural time-series models to investigate the causal effect of an earthquake on the Borsa Istanbul Stock Index. The results reveal a significant negative impact on stock market value during the post-treatment period. The results indicate rapid...

In this study, we construct an index using high-frequency data related to financial markets and intermediation services in Turkey, called the High-Frequency Financial Conditions Index, employing alternative statistical techniques for the period from 2006 to 2020. We also analyze the informative...