In this paper we assess the impact of climate shocks on futures markets for agricultural commodities and a set macroeconomic quantities multiple high-income economies. To capture relations among countries, markets, shocks, proposes parsimonious methods to estimate high-dimensional panel vector autoregressions. We assume that coefficients associated with domestic lagged endogenous variables aris...

The soundness and efficiency of banks is one of the important subjects that neglecting it can have adverse consequences for every country's economy. For economies depending on the money market, such as the Iran economy, this subject is more critical. Therefore, in this study, using panel data related to 16 Iranian banks for the annual period of 2010-2017, the economic efficiency was determined ...

This paper builds a mixed-frequency panel data model for nowcasting economic variables across many countries. The extends the vector autoregression (MF-PVAR) to allow heterogeneous coefficients and multifactor error structure cross-sectional dependence. We propose modified common correlated effects (CCE) estimation technique which performs well in simulations. is applied two distinct settings: ...

We calculate the NAIRU for the U.S. in a framework where inflation and the unemployment rate can respond to each other. The NAIRU is defined as the component of the actual unemployment rate that is uncorrelated with inflation in the long run. Using a structural VAR approach, the NAIRU and core inflation can be estimated simultaneously. Our estimation results show that the NAIRU falls dramatical...

This paper examines the e↵ects of intra-financial lending – claims between financial institutions – on aggregate investment and credit to the non-financial sector in the United States. Building on Montecino, Epstein, and Levina (2014) we document a large growth in intra-financial assets beginning in the early 1980s. Using a vector autoregression model, we find that intra-financial lending is ne...

We identify the temporary and permanent components of US stock prices through appropriate restrictions on a vector autoregression of real stock returns and changes in interest rates, employing alternative robust estimation procedures designed to allow for non-Gaussian innovations.  2000 Elsevier Science S.A. All rights reserved.

The interactions between renewable energy, economic growth, agricultural sector, and urbanization were analyzed for the Mercosur trade-bloc countries over period from 1980 to 2014. analysis was performed recurring panel vector autoregression capture rich connections (endogeneity) variables a long period. results support existence of endogeneity as well presence bi-directional causality, consump...