This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to select the best model solution for examining if international spillovers come from multivariate volatility, time variation, or contemporaneous relationship. An empirical application among Central-Eastern and Western Europe economies is conducted to describe the performance of the methodology, with particular emphasis on the Great Recession and post-crisis periods. A simulated example is also addressed to highlight the performance of the estimating procedure. Findings from evidence-based forecasting are also addressed to evaluate the impact of an ongoing pandemic crisis on the global economy.

中文翻译：

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具有多元时变波动性的结构面板贝叶斯VAR共同处理结构变化，政策制度转变和内生性问题

本文改进了标准的结构面板贝叶斯向量自回归模型，以共同处理因遗漏因素和未观察到的异质性以及波动性（由于政策制度变化和结构变化）而引起的内生性问题。贝叶斯方法用于选择最佳模型解决方案，以检查国际溢出是否来自多元波动性，时间变化或同期关系。进行了中东欧和西欧经济体的经验应用，以描述该方法的效果，并特别强调了大萧条时期和危机后时期。还提供了一个模拟示例，以突出显示估计过程的性能。