Estimating uncertainty spillover effects across euro area using a regime dependent VAR model

DOI10.1515/snde-2021-0107MaRDI QIDQ6645225

Giovanni Angelini, Joshy Z. Easaw, Mauro Costantini

Publication date: 28 November 2024

Published in: Unnamed Author (Search for Journal in Brave)

zbMATH Keywords

uncertaintyspillover effectseuro areareal economic activity

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Structural vector autoregressions with Markov switching
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• The Impact of Uncertainty Shocks
• Uncertainty and Investment Dynamics

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