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 develops a two-block Structural Vector Autoregression featuring time-varying parameters and stochastic volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from January 2008 to March 2022. The model is estimated by...