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. We employ a panel vector autoregressive (PVAR) approach along with impulse response functions (IRFs), variance …
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regime-switching models using a nonlinear panel threshold vector autoregression (PTVAR) model to measure the size of the …
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variables and the macroeconomy by estimating a panel Bayesian VAR model for twelve euro area countries. The model is estimated …
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We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area … countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find …
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