AEA Papers and Proceedings, Vol. 112, PAPERS AND PROCEEDINGS OF THE One Hundred Thirty-Fourth Annual Meeting OF THE AMERICAN ECONOMIC ASSOCIATION (MAY 2022), pp. 466-470 (5 pages) The problem of ...
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...
The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
Using the generalized value-at-risk method of Diebold and Yilmaz in their 2009 paper "Measuring financial asset return and volatility spillovers, with application to global equity markets" to measure ...
Abstract: This paper examines the sustainability of fiscal policy under uncertainty in three emerging market countries—Brazil, Mexico, and Turkey. For each country, we estimate a vector autoregression ...
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