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Measuring the Connectedness of the Global Economy
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Measuring the Connectedness of the Global Economy (2021)Measuring the Connectedness of the Global…Economic Freedom of the World: 2022 Annual Report (2022)Economic Freedom of the World…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Off the cliff and back? Credit conditions and international trade during the global financial crisis (2011)Off the cliff and back? Credi…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…Collective Risk Management in a Flight to Quality Episode (2007)Collective Risk Management in…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…General Diagnostic Tests for Cross Section Dependence in Panels (2004)General Diagnostic Tests for …International Business Cycles: World, Region, and Country-Specific Factors (2003)International Business Cycles…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Are Forecasting Models Usable for Policy Analysis? (1986)Are Forecasting Models Usable…Spillover between investor sentiment and volatility: The role of social media (2024)Spillover between investor se…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Clausulas comparativas do portugues (1975)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Income Inequality in the United States, 1913-1998 (2003)Unbundling Institutions (2005)Greasing the wheels? The impact of regulations and corruption on firm entry (2011)The dynamic impact of renewable energy and institutions on economic output and CO 2 emissions across regions (2017)Biases in Dynamic Models with Fixed Effects (1981)Spatial Econometrics: Methods and Models (1988)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Large Bayesian vector auto regressions (2009)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Statistical analysis of cointegration vectors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Panels with Nonstationary Multifactor Error Structures (2006)Unit Roots and Cointegration in Panels (2008)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 2004General Diagnostic Tests for Cross Section Dependence in Panels8,718 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
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  • 1986Are Forecasting Models Usable for Policy Analysis?1,224 cited
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  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

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840 cited
  • 2007Collective Risk Management in a Flight to Quality Episode749 cited
  • 2011Off the cliff and back? Credit conditions and international trade during the global financial crisis732 cited
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    • 2024Spillover between investor sentiment and volatility: The role of social media27 cited