Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues

This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because omitted factors and unobserved heterogeneity, volatility, policy regime shifts structural changes. methods are used select the best solution for examining if international spillovers come from multivariate time variation, or contemporaneous relationship. An empirical application among Central-Eastern Western Europe economies is conducted describe performance methodology, particular emphasis on Great Recession post-crisis periods. A simulated example also addressed highlight estimating procedure. Findings evidence-based forecasting evaluate impact an ongoing pandemic crisis global economy.