Browsing BI Open by Author "Hou, Chenghan"

Now showing items 1-5 of 5

    • International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach 

      Cross, Jamie L.; Hou, Chenghan; Poon, Aubrey (CAMP Working Paper Series Paper No. 12/2018;, Working paper, 2018-11)
      We estimate the effects of domestic and international sources of macroeconomic uncertainty in three small open economy (SOE) inflation targeting countries: Australia, Canada and New Zealand. To this end, we propose a structural ...

    • Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs 

      Cross, Jamie L.; Hou, Chenghan; Koop, Gary; Poon, Aubrey (CAMP Working Paper Series;04/2021, Working paper, 2021-06-15)
      Vector autoregressions with stochastic volatility in both the conditional mean and variance are commonly used to estimate the macroeconomic effects of uncertainty shocks. Despite their popularity, intensive computational ...

    • On the China factor in international oil markets: A regime switching approach 

      Cross, Jamie L.; Hou, Chenghan; Nguyen, Bao H. (CAMP Working Paper Series Paper;11/2018, Working paper, 2018)
      We investigate the relationship between world oil markets and China's macroeconomic performance over the past two decades. Our analysis starts by proposing a simple method for disentangling real economic activity stemming ...

    • On the China factor in the world oil market: A regime switching approach 

      Cross, Jamie; Hou, Chenghan; Nguyen, Bao (Peer reviewed; Journal article, 2021)
      We investigate the relationship between China's macroeconomic performance and the world oil market over the past two decades. Unlike existing studies, we allow for possible regime changes by utilizing a class of Markov-switching ...

    • Returns, Volatility and the Cryptocurrency Bubble of 2017-18 

      Cross, Jamie; Hou, Chenghan; Trinh, Kelly (Journal article; Peer reviewed, 2021)
      Research on cryptocurrencies has focused on price and volatility formation in isolation, however knowledge about their interdependence is important for risk management and asset allocation. We investigate the existence and ...