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Large Time-Varying Parameter VARs [PDF]
, 2012 In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive models (TVP-VARs). To overcome computational constraints, we draw on ideas from the dynamic model averaging literature which achieve ...
Banbura +26 more
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Measuring Dynamic Connectedness with Large Bayesian VAR Models [PDF]
, 2018 We estimate a large Bayesian time-varying parameter vector autoregressive (TVP-VAR) model of daily stock return volatilities for 35 U.S. and European financial institutions.
Korobilis, D, Yilmaz, K
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The Volatility Relationship Among Financial Assets: TVP-VAR Model
International Journal of Business and Economic Studies, 2023 In the post-pandemic period, intense fluctuations in interest rates, inflation, and prices were observed in many countries around the world. This study was conducted to analyze the dynamic interconnectedness between financial assets during this turbulent period.
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Discrete Dynamics in Nature and Society, 2021 This paper analyzes the time-varying impacts of Chinaʼs economic growth, energy efficiency, and industrial development on carbon dioxide (CO2) emissions from 1970 to 2019.
Donghai Zhou +3 more
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Time variation in the dynamics of worker flows:evidence from North America and Europe [PDF]
, 2014 Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job-finding rates using tools such as impulse response analysis.
Blanchard +28 more
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Pamukkale University Journal of Social Sciences Institute, 2019 Bu makalede Turkiye’de parasal aktarim mekanizmalarindaki degisimin finansal kosullarin rolu dikkate alinarak incelenmesi amaclanmaktadir. Bu cercevede, parasal degiskenler ve finansal kosullarin fiyatlar ve iktisadi aktivite uzerindeki etkileri zamanla degisen parametreli vektor otoregresif (TVP-VAR) modellerin tahmininden elde edilen etki-tepki ...
AKDENİZ, Coşkun, ÇATIK, Nazif
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EVOLUTION OF MONETARY POLICY TRANSMISSION MECHANISM IN MALAWI: A TVP-VAR APPROACH [PDF]
Journal of Economic Development, 2016 This paper investigates the evolution of monetary transmission mechanism in Malawi between 1981 and 2010 using a time varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility. We evaluate how the responses of real output and general price level to bank rate, exchange rate and credit shocks have changed over timesince Malawi ...
Chance Mwabutwa +2 more
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South African Journal of Economic and Management Sciences, 2017 Background: This article adds to scarce sub-Saharan African and South African literature on monetary policy transmission mechanisms by looking into: (1) the Keynesian interest rate channel of monetary policy transmission in South Africa, focussing on the
Emmanuel Owusu-Sekyere
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Marginal Likelihood Estimation with the Cross-Entropy Method [PDF]
, 2012 We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging.
Chan, Joshua, Eisenstat, Eric
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Credit constraints and the propagation of the Great Depression in Germany [PDF]
, 2019 We evaluate the role played by loan supply shocks in the decline of investment and industrial production during the Great Depression in Germany from 1927 to 1932.
Adam, Marc C., Jansson, Walter
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