Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247610 
Year of Publication: 
2021
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 9 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-35
Publisher: 
MDPI, Basel
Abstract: 
This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to select the best model solution for examining if international spillovers come from multivariate volatility, time variation, or contemporaneous relationship. An empirical application among Central-Eastern and Western Europe economies is conducted to describe the performance of the methodology, with particular emphasis on the Great Recession and post-crisis periods. A simulated example is also addressed to highlight the performance of the estimating procedure. Findings from evidence-based forecasting are also addressed to evaluate the impact of an ongoing pandemic crisis on the global economy.
Subjects: 
Bayesian methods
Central-Eastern and Western Europe
change-points
endogeneity issues
multivariate time-varying volatility
structural panel VAR
JEL: 
A1
C01
E02
H3
N01
O4
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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