This paper employs a Global Vector Auto Regressive (GVAR) model to study the evolution of the response of the …

which combines aspects of factor analysis and GVAR model by replacing the cross-unit averages that serve as foreign … variables in the GVAR model with data driven regional and global factors. The main findings are as follows. First, there is … of US interest rate is taken over by the global financial risk shock. Lastly, we find some evidence that macroeconomic …

markets can be used to identify country-specific oil-supply shocks. On the empirical side, estimating the GVAR-Oil model for … the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on … contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that …

recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the … bilateral trade and inward foreign direct investment or outward banking claim exposures in a GVAR fits the data better than …