Browsing NHH Brage by Journals "Journal of the Royal Statistical Society: Series A (Statistics in Society)"
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Spillovers from US monetary policy: evidence from a time varying parameter global vector auto-regressive model
(Journal article; Peer reviewed, 2019)The paper develops a global vector auto-regressive model with time varying parameters and stochastic volatility to analyse whether international spillovers of US monetary policy have changed over time. The model proposed ...