A Bayesian global VAR with drifting coefficients and factor volatility in mean produces an endogenous international uncertainty measure and finds time-varying negative real and financial effects of uncertainty shocks.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
econ.EM 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Measuring international uncertainty using global vector autoregressions with drifting parameters
A Bayesian global VAR with drifting coefficients and factor volatility in mean produces an endogenous international uncertainty measure and finds time-varying negative real and financial effects of uncertainty shocks.