American Journal of Agricultural Economics, Vol. 97, No. 5 (October 2015), pp. 1494-1511 (18 pages) Food commodity price fluctuations have an important impact on poverty and food insecurity across the ...

This paper studies the effect of oil price shocks on China’s consumer and entrepreneur sentiment using a novel Bayesian inference structural vector autoregression model. Interestingly, we find that ...

This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a set of hierarchical ...

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 ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Yemen has had a high and volatile rate of inflation in recent years. This paper studies the underlying determinants of ...

This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...