Results 1 to 10 of about 83,930 (42)
The American Economic Review, 2019 Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs.
C. Baumeister, James D. Hamilton
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Narrative Sign Restrictions for SVARs
The American Economic Review, 2018 We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and/or the historical decomposition around key historical events, ensuring that they agree with the established ...
Juan Antolín-Díaz, J. Rubio-Ramírez
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A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico
Latin American Journal of Central Banking, 2023 This paper describes the set of Bayesian vector autoregression (BVAR) models that are being used at Banco de España to project GDP growth rates and to simulate macrofinancial risk scenarios for Brazil and Mexico.
Erik Andres–Escayola +3 more
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Vector autoregression models with skewness and heavy tails [PDF]
Journal of Economic Dynamics and Control, 2021 With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed.
Sune Karlsson, S. Mazur, Hoang Nguyen
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Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs
American Economic Journal: Macroeconomics, 2016 In this paper, we develop a Bayesian framework to estimate a proxy structural vector autoregression to identify monetary policy shocks. We find that during the Great Moderation period, monetary policy shocks induce a persistent decline in real activity ...
Dario Caldara, Edward Herbst
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Social Science Research Network, 2008 In this paper, we outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by ECB/Eurosystem staff.
K. Christoffel, G. Coenen, A. Warne
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The Power of Text-based Indicators in Forecasting the Italian Economic Activity
Social Science Research Network, 2021 Can we use newspaper articles to forecast economic activity? Our answer is yes and, to this aim, we propose a brand new economic dictionary in Italian with valence shifters, and we apply it on a corpus of about two million articles from four popular ...
Valentina Aprigliano +5 more
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SAGE Open, 2023 This study examines the complex interaction between Financial Development (FD) and Economic Growth (EG) in Algeria from 1980 to 2020 using nonlinear modeling techniques. We apply the Non-Linear Causality test with Transfer Entropy, a novel method in this
Abdullah Mohammad Ghazi Al khatib +2 more
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Business, Housing and Credit Cycles
Social Science Research Network, 2018 We use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. and the five largest European economies.
Gerhard Rünstler, Marente Vlekke
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An Inflation-Predicting Measure of the Output Gap in the Euro Area
Social Science Research Network, 2018 Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model,
Marek Jarociński, M. Lenza
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