The network vector autoregression (NAR) model incorporates the network information among individuals. The response of each individual can be explained by its lagged value, the average of its neighbors ...

This paper proposes a “quasi-agnostic” sign restriction procedure to identify structural shocks in frequentist structural vector autoregression (SVAR) models. It argues that low acceptance rates, ...

This paper investigates the international transmission mechanism of stock market movements by estimating a nine-market vector autoregression (VAR) system. Using simulated responses of the estimated ...