This article examines the structural responses of foreign exchange and equity markets to COVID-19 pandemic in seven Asian countries over its first 4 months (31 December 2019 1 May 2020). Marginal effects derived from a vector autoregression (SVAR) model suggest that 1% increase incidence cases significantly diminished Indonesia’s market returns by 4.7%, depreciated Indian rupee against US dolla...

Resumo Estimamos um VAR estrutural (SVAR) baseado em Blanchard e Perotti (2002) com dados atualizados do governo central de Gobetti Orair (2017) para estimar multiplicadores fiscais. O resultado sugere multiplicador maior na amostra completa (1997-2018) relação à pré-crise (até 2014) benefícios sociais investimentos públicos. Nosso primeiro exercício avalia a reorientação da política fiscal os ...

Structural vector autoregressive (SVAR) models are frequently applied to trace the contemporaneous linkages among (macroeconomic) variables back an interplay of orthogonal structural shocks. Under Gaussianity parameters unidentified without additional (often external and not data-based) information. In contrast, often reasonable assumption heteroskedastic and/or non-Gaussian model disturbances ...