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Keywords: Dynamic connectedness
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Journal Articles
Inflation spillover among GCC countries: new insights from asymmetric TVP-VAR connectedness analysis
International Journal of Islamic and Middle Eastern Finance and Management (2025) 18 (6): 1433–1453.
Published: 05 June 2025
...) countries between January 2010 and November 2024. Design/methodology/approach This paper uses a time-varying parameter vector autoregressive (TVP-VAR) model and account for asymmetric dynamic connectedness by explicitly considering the transmission of positive and negative inflation shocks. Findings...
