This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...

The shock to the global economy from COVID-19 is predicted to be faster and more severe than the 2008 global financial crisis and even the Great Depression. We assess its impact on global fossil fuel consumption and CO2 emissions over a two-year horizon. For this purpose we employ a global...