volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

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 using Bayesian methods and focuses on the effect on Maltese output and … prices. The results evidence how Great Recession and COVID-19 pandemic are associated with higher inflation responsiveness …

Bayesian techniques for estimation, and introduce a set of hierarchical global-local shrinkage priors. The adopted priors … vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …