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Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach
13 references·6 citing·48 second hop
Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach (2016)Testing the asymmetric effects of financi…Estimating Fiscal Multipliers: News from a Non‐linear World (2015)Estimating Fiscal Multipliers…A new index of financial conditions (2014)A new index of financial cond…International comovements in inflation rates and country characteristics (2011)International comovements in …Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area (2010)Liquidity, Inflation and Asse…Vector smooth transition regression models for US GDP and the composite index of leading indicators (2004)Vector smooth transition regr…Critical values for multiple structural change tests (2003)Critical values for multiple …LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach (1999)The Asymmetric Effects of Mon…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Asymmetric Price Adjustment and Economic Fluctuations (1994)Asymmetric Price Adjustment a…The (Mis)Behaviour of the Aggregate Price Level (1993)The (Mis)Behaviour of the Agg…Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Characterizing nonlinearities…The New Keynesian Economics and the Output-Inflation Trade-Off (1988)The New Keynesian Economics a…Estimating a time-varying financial conditions index for South Africa (2020)Estimating a time-varying fin…The role of geopolitical risks on the Turkish economy opportunity or threat (2019)The role of geopolitical risk…Comparing the forecasting ability of financial conditions indices: The case of South Africa (2018)Comparing the forecasting abi…Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach (2017)Asymmetric effects of the int…Stock price dynamics and the business cycle in an estimated DSGE model for South Africa (2016)Stock price dynamics and the …Testing for Multiple Bubbles in the BRICS Stock Markets (2014)Testing for Multiple Bubbles …Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Interpreting the macroeconomic time series facts (1992)Bank capital and loan asymmetry in the transmission of monetary policy (2005)The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model (2005)Macroeconomic Shocks and Their Propagation (2016)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Do recessions permanently change output? (1993)A nonlinear approach to US GNP (1995)Testing the adequacy of smooth transition autoregressive models (1996)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Dealing with Structural Breaks (2005)Inequality and Unsustainable Growth: Two Sides of the Same Coin? (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Estimation and Inference of Impulse Responses by Local Projections (2005)Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (2016)Economic Policy Uncertainty Spillovers in Booms and Busts (2019)Ten Years After the Financial Crisis: What Have We Learned from the Renaissance in Fiscal Research? (2019)Economic Reform and the Process of Global Integration (1995)Finance and the sources of growth (2000)More effective than we thought: Central bank independence and inflation in developing countries (2019)Push factors and capital flows to emerging markets: why knowing your lender matters more than fundamentals (2019)One-stop source: A global database of inflation (2023)Inflation crises and long-run growth (1998)State-Dependent Pricing and the General Equilibrium Dynamics of Money and Output (1999)Does Inflation Targeting Matter? (2003)BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK (1993)Asymmetric Price Transmission: A Survey (2004)The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis (2014)
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References

  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models890 cited
  • 2003Critical values for multiple structural change tests860 cited
  • 1988The New Keynesian Economics and the Output-Inflation Trade-Off838 cited
  • 2014A new index of financial conditions710 cited
  • 1994Asymmetric Price Adjustment and Economic Fluctuations668 cited
  • 1999The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach333 cited
  • 2011International comovements in inflation rates and country characteristics196 cited
  • 2015Estimating Fiscal Multipliers: News from a Non‐linear World195 cited
  • 2004Vector smooth transition regression models for US GDP and the composite index of leading indicators126 cited
  • 1993The (Mis)Behaviour of the Aggregate Price Level103 cited
  • 2010Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area85 cited

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  • 2019The role of geopolitical risks on the Turkish economy opportunity or threat79 cited

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2017
Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach
57 cited
  • 2016Stock price dynamics and the business cycle in an estimated DSGE model for South Africa29 cited
  • 2014Testing for Multiple Bubbles in the BRICS Stock Markets23 cited
  • 2020Estimating a time-varying financial conditions index for South Africa21 cited
  • 2018Comparing the forecasting ability of financial conditions indices: The case of South Africa12 cited