Browsing NHH Brage by Author "Huber, Florian"

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Spillovers from US monetary policy: evidence from a time varying parameter global vector auto-regressive model

Crespo Cuaresma, Jesus; Doppelhofer, Gernot Peter; Feldkircher, Martin; Huber, Florian (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 ...
Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model

Crespo Cuaresma, Jesus; Doppelhofer, Gernot; Feldkircher, Martin; Huber, Florian (DP SAM;31/2018, Working paper, 2018-12-21)

This paper develops a global vector autoregressive (GVAR) model with time-varying parameters and stochastic volatility to analyze whether international spillovers of US monetary policy have changed over time. The proposed ...