How did a health crisis translate to an economic crisis? Why did the spread of the
coronavirus bring the global economy to its knees? The answer lies in two methods by …

We use factor augmented vector autoregressive models with time-varying coefficients and
stochastic volatility to construct a financial conditions index that can accurately track …

The world has been waging a fight against the novel coronavirus (COVID-19) since
December 2019. The current coronavirus crisis is a catastrophe affecting billions of families …

This paper examines the relationship between oil market shocks and financial instability in
Asian countries using a Structural Vector Autoregression (SVAR) following Kilian and Park's …

We study how US credit supply shocks are transmitted to other economies. We use the
recently developed GVAR approach to model financial variables jointly with macroeconomic …

This paper investigates the international spillovers of housing demand shocks on real
economic activity. The global economy is modeled using a Global VAR, with a novel house …

The effects of COVID-19 are being felt throughout the world's health, educational, financial,
and commercial institutions, and the sports ecosystem is no exception. Matches and …

We develop a technique to exploit forecast error variance decompositions to evaluate the
macroeconomic connectedness embedded in any multi-country macroeconomic model with …

With the increasing openness of the Chinese economy, Chinese financial markets are
becoming more integrated with those in developed markets. The goal of this paper is to …

We study the changing international transmission of financial shocks over the period 1971–
2012. Global financial shocks are measured as unexpected changes of a US financial …