The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...

The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the ...

Every time a language model like GPT-4, Claude or Mistral generates a sentence, it does something deceptively simple: It picks one word at a time. This word-by-word approach is what gives ...

This paper examines the importance of various macroeconomic shocks in explaining the movement of the term structure of nominal bond yields in the post-war U.S., as well as the channels through which ...

In the heat of severe global macroeconomic volatility, monetary authorities in the developing world are faced with the challenge of identifying the sources of such volatilities in their countries.