Before revision: In this paper, we provide a parsimonious means to estimate panel VARs with stochastic volatility .
After revision: In this paper, we assess the impact of climate shocks on futures markets for agricultural commodities and a set of macroeconomic quantities for multiple high-income economies. To capture relations among countries, markets, and climate shocks, this paper proposes parsimonious methods to estimate high-dimensional panel VARs .