Fig. 9

MCMC samples of the TVP-VAR-SV parameters. Left: Parameters of TVP-VAR-SV with the ordering \(\left\{EPU,NEF,R\right\}\). Right: Parameters of TVP-VAR-SV with the ordering \(\left\{EPU,R,NEF\right\}\). Sample autocorrelations (top), sample paths (middle) and posterior histograms (bottom). The estimates of \({\Sigma }_{\beta }\) and \({\Sigma }_{a}\) are multiplied by 100. The TVP-VAR-SV models are estimated using one lag