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The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR
16 references·16 citing·38 second hopsampled
The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR (2016)The Changing International Transmission o…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …House prices, money, credit, and the macroeconomy (2008)House prices, money, credit, …The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Exploring the international linkages of the euro area: a global VAR analysis (2007)Exploring the international l…Understanding Changes in International Business Cycle Dynamics (2005)Understanding Changes in Inte…The transmission of US shocks to Latin America (2005)The transmission of US shocks…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Implications of Dynamic Factor Models for VAR Analysis (2005)Implications of Dynamic Facto…International Business Cycles: World, Region, and Country-Specific Factors (2003)International Business Cycles…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…International transmission of U.S. monetary policy shocks: Evidence from VAR's (2001)International transmission of…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …The macroeconomy as a random forest (2024)The macroeconomy as a random …The relationship between climate risk, climate policy uncertainty, and CO2 emissions: Empirical evidence from the US (2023)The relationship between clim…Financial shocks, credit spreads, and the international credit channel (2021)Financial shocks, credit spre…Financial shocks and inflation dynamics (2021)Financial shocks and inflatio…The Macroeconomy as a Random Forest (2020)The Macroeconomy as a Random …Monetary policy and herd behavior: International evidence (2020)Monetary policy and herd beha…Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions (2020)Drawing conclusions from stru…Changing transmission of monetary policy on disaggregate inflation in India (2020)Changing transmission of mone…Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach (2019)Cross-asset contagion in the …Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK (2018)Financial market illiquidity …The Global Role of the U.S. Economy: Linkages, Policies and Spillovers (2017)The Global Role of the U.S. E…Financial Shocks, Credit Spreads and the International Credit Channel (2017)Financial Shocks, Credit Spre…Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR (2016)Liquidity shocks and real GDP…The transmission of US systemic financial stress: Evidence for emerging market economies (2015)The transmission of US system…Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis (2013)Transmission of US financial …Evaluating changes in the monetary transmission mechanism in the Czech Republic (2013)Evaluating changes in the mon…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)Forecasting Using Principal Components From a Large Number of Predictors (2002)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)Measuring Uncertainty (2015)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2004)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Unit Roots and Cointegration in Panels (2008)Panel Vector Autoregressive Models: A Survey (2013)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)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)The arbitrage theory of capital asset pricing (1976)An Empirical Investigation of the Arbitrage Pricing Theory (1980)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)New Indexes of Coincident and Leading Economic Indicators (1989)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)U.S. Monetary Policy and the Global Financial Cycle (2020)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2003International Business Cycles: World, Region, and Country-Specific Factors1,234 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 2007Exploring the international linkages of the euro area: a global VAR analysis996 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2005Implications of Dynamic Factor Models for VAR Analysis870 cited
  • 2008House prices, money, credit, and the macroeconomy760 cited
  • 2005Understanding Changes in International Business Cycle Dynamics685 cited
  • 2001International transmission of U.S. monetary policy shocks: Evidence from VAR's

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538 cited
  • 2005The transmission of US shocks to Latin America530 cited
  • Cited by

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    • 2015The transmission of US systemic financial stress: Evidence for emerging market economies62 cited
    • 2021Financial shocks, credit spreads, and the international credit channel61 cited
    • 2024The macroeconomy as a random forest47 cited
    • 2018Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK41 cited
    • 2020The Macroeconomy as a Random Forest41 cited
    • 2013Evaluating changes in the monetary transmission mechanism in the Czech Republic38 cited
    • 2020Monetary policy and herd behavior: International evidence38 cited
    • 2020Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions36 cited
    • 2017Financial Shocks, Credit Spreads and the International Credit Channel35 cited
    • 2013Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis35 cited
    • 2020Changing transmission of monetary policy on disaggregate inflation in India34 cited
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