This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec-tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

We investigate whether the macroeconomic effects of government spending shocks vary with the level of uncertainty. Using postwar US data and a Self-Exciting Interacted VAR (SEIVAR) model, we find that fiscal spending has positive output effects in tranquil times but is contractionary during...

We represent the dynamic relation among variables in vector autoregressive (VAR) models as directed graphs. Based on these graphs, we identify so-called strongly connected components (SCCs). Using this graphical representation, we consider the problem of variable selection. We use the relations...

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....

We study the driving forces of the so-called "German labor market miracle" the trend-shift and steady decline of German unemployment over the last two decades that persisted beyond the Great Recession. Our structural VAR approach encompasses various factors within a single comprehensive...

In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for in inference, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change...

We study the impact of fiscal rules on macroeconomic performance following natural disaster shocks, using dynamic panel models and quarterly data for 89 countries. We find that countries with fiscal rules perform significantly better in the aftermath of such shocks than countries without rules....

In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo...

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a foreign volatility innovation on a conditional...