We develop a new technique to estimate vector autoregressions with common factor error structure by quantile regression. apply our study credit risk spillovers among group of 17 sovereigns and their respective financial sectors between January 2006 December 2017. show that idiosyncratic shocks propagate much more strongly in both tails than at the conditional mean or median. Furthermore, we measure relative spillover intensity right left distribution provides timely aggregate systemic...

This paper develops a cointegrating nonlinear autoregressive distributed lag (NARDL) model in which short- and long-run nonlinearities are introduced via positive negative partial sum decompositions of the explanatory variables. We demonstrate that is estimable by OLS reliable inference can be achieved bounds-testing regardless integration orders Furthermore, we derive asymmetric dynamic multipliers graphically depict traverse between long-run. The salient features illustrated using example...

We develop a new technique to estimate vector autoregressions by quantile regression. A factor structure is used remove cross-section correlation in the residuals such that system can be estimated on an equation-by-equation basis using existing regression toolboxes. use our model study credit risk spillovers among panel of 18 sovereigns and their respective financial sectors between January 2006 February 2012. show idiosyncratic shocks do not propagate strongly at median but powerful occur...

We estimate the direct and indirect effects of clean energy investment on carbon emissions using a Spatial Durbin Model fitted to panel 73 countries from 2000 2018. find that 1 percent increase in domestic reduces by approximately 0.05 average, controlling for country characteristics. However, this benefit is offset leakage effect, whereby among neighboring leads 0.19 emissions. This suggestive outsourcing pollution one another, indicates ad hoc policies promote may be ineffective at...

Abstract We review the literature on autoregressive distributed lag (ARDL) model, from its origins in analysis of autocorrelated trend stationary processes to subsequent applications cointegrated non‐stationary time series. then survey several recent extensions ARDL including asymmetric and non‐linear generalisations quantile pooled mean group dynamic panel data model spatio‐temporal model.

We estimate the direct and indirect effects of clean energy investment on carbon emissions using a Spatial Durbin Model fitted to panel 72 countries from 2000 2018. find that 1 percent increase in domestic reduces by approximately 0.05 average, controlling for country characteristics. However, this benefit is offset leakage effect, whereby among neighboring leads about 0.28 emissions. This suggestive outsourcing pollution one another indicates ad hoc policies promote may be ineffective...

Summary We analyse exchange rate pass-through into import prices for a large group of 33 emerging and developed economies from 1980, quarter 1, to 2010, 4. Our error correction models permit asymmetric currency appreciations depreciations over three horizons interest: on impact, in the short run long run. find that are typically passed through more strongly than run, suggesting exporters may exert degree long-run pricing power. This asymmetry is stronger which dependent but moderated by...

SUMMARY We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and imbalances among group 33 countries (26 regions). account for structural instability by use country‐specific intercept shifts, timings which are identified taking into both statistical evidence our knowledge historic economic conditions events. Using this model, we compute central forecasts scenario‐based probabilistic range events interest, including sign trajectory balance trade,...

We develop a technique to evaluate macroeconomic connectedness in any multi-country model with an approximate VAR representation. apply our large Global covering 25 countries and derive vivid representations of the system. show that US, Eurozone crude oil market exert dominant influence global economy Chinese Brazilian economies are also globally significant. Recursive analysis over period financial crisis shows shocks equity markets rapidly forcefully transmitted real trade flows GDP.

Monetary theory typically assumes that the pass-through from policy-controlled interest rates to longer term and yields is complete, rapid symmetric. We investigate these assumptions by applying Nonlinear ARDL (NARDL) model advanced Shin, Yu Greenwood-Nimmo (2013) analysis of rate in U.S. find five stylised findings as follows: (i) cuts are passed through more completely than hikes long-run; (ii) rapidly short-run; (iii) has become less complete during Great Moderation; (iv) speed adjustment...

This paper develops a simple two-country stock–flow-consistent model based on that of Godley and Lavoie. In order to motivate the use stabilisation policies, persistent inflationary pressure endogenous economic cycles are introduced into model. Three scenarios then simulated: step decrease in real exports from country B, increased wage B an income tax cut A. all cases, monetary fiscal policies isolation enjoy little success, but combined approach proves highly effective. Moreover, suggests...