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Search results with tag "Vector autoregressive"
Measuring Geopolitical Risk - Federal Reserve
www.federalreserve.govvector autoregressive (VAR) models estimated on U.S. data, we nd that an increase in geopolitical risk induces persistent declines in industrial production, employment, and international trade, and that both economic policy uncertainty and consumer con dence enhance the transmission of geopo-litical risk shocks.