L. Vanessa Smith

TL;DR: In this article, the authors found significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006, and discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.

TL;DR: In this article, a conceptual framework for the analysis of counterfactual scenarios using macro-econometric models was provided for the UK's entry to the euro, which involves a long-term commitment to restrict UK nominal exchange rates and interest rates to be the same as those of the euro area, and conditional probability distributions for the difference between the future realisations of variables of interest (e.g. UK and euro area output and prices) subject to UK entry restrictions being fully met over a given period and the alternative realisations without the restrictions.

TL;DR: In this article, a global vector autoregressive (GVAR) model was used to generate out-of-sample one quarter and four quarters ahead forecasts of real output, inflation, real equity prices, exchange rates and interest rates over the period 2004Q1-2005Q4.

TL;DR: In this paper, the authors focus on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy, and use the global vector autoregressive (GVAR) model developed in Dees, di Mauro, Pesaran and Smith to test for long run restrictions in each country/region conditioning on the rest of the world.

TL;DR: This paper assess the effect of the COVID-19 pandemic on global fossil fuel consumption and CO2 emissions over the two-year horizon 2020Q1-2021Q4.