Abstract The Global Vector Autoregressive (GVAR) approach has proven to be a very useful
approach to analyse interactions in the global macroeconomy and other data networks …

This chapter provides an overview of and user's guide to dynamic factor models (DFMs),
their estimation, and their uses in empirical macroeconomics. It also surveys recent …

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign
restrictions constrain the structural shocks and/or the historical decomposition around key …

In this paper, we develop algorithms to independently draw from a family of conjugate
posterior distributions over the structural parameterization when sign and zero restrictions …

The impact that oil-market shocks have on stock prices in oil exporting countries has
implications for both domestic and international investors. We derive the shocks driving oil …

We develop a structural model of the global market for crude oil that for the first time explicitly
allows for shocks to the speculative demand for oil as well as shocks to flow demand and …

A popular view is that the surge in the real price of oil during 2003-08 cannot be explained
by economic fundamentals, but was caused by the increased financialization of oil futures …

Notwithstanding the increased use of estimated dynamic stochastic general equilibrium
(DSGE) models over the last decade, structural vector autoregressive (VAR) models …

We investigate the effects of government spending on US output with a threshold structural
vector autoregressive model. We consider Bayesian model comparison and generalized …

This paper studies the effects of monetary policy shocks using structural VARs. We achieve
identification by imposing sign and zero restrictions on the systematic component of …