Since the start of the previous decade, regionalization of trade and investment flows has led
to complex coupling in local (country-level) and global risks. To-date, little is known about …

We examine the link between financial stress and three sources of commodity fluctuations in
MENA countries, namely:(i) oil demand shocks;(ii) oil supply shocks; and (iii)(financial) risk …

We implement a two‐stage methodology based on the structural vector autoregressive and
time‐varying parameter vector autoregressive models to examine the time‐varying effect of …

Investigating systemic risk and its driving factors has always been a hot topic. Based on this,
we combine the tail-event driven network (TENET) and structural vector autoregression …

Given the financial markets' growing preference for examining digital platforms, this study
explores the dynamic relationship of oil shocks with both conventional and digital …

Financial stress can have significant implications for individuals, businesses, asset prices
and the economy as a whole. This study examines the nonlinear structure and dynamic …

Time-varying coefficient models can capture evolving relationships. However, constructing
asymptotic confidence bands for coefficient curves in these models is challenging due to …

In the wake of unprecedented financial liberalization policies adopted by Emerging Market
Economies (EMEs) since the late 20th century, their integration into global financial markets …

During periods of heightened stress, financial stability considerations assume critical
importance. However, central banks often exhibit an unsystematic response to financial …

Time-varying regression models with trends are commonly used to analyze long-term
tendencies and evolving relationships in data. However, statistical inference for parameter …