Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk
Rodney W. Strachan; Herman K. van Dijk
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated, together with the effect of permanent shocks on business cycles. Second, the linear VAR model is extended to include a smooth transition function in a (monetary) equation and stochastic volatility in the disturbances. The risk of a liquidity trap in the U.S.A. and Japan is evaluated. Although this risk found to be reasonably high, we find only mild evidence that the monetary policy transmission mechanism is different and that central banks consider the expected cost of a liquidity trap in policy setting. Posterior probabilities of different models are evaluated using Markov chain Monte Carlo techniques.
Year of publication: |
2008
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Authors: | Strachan, Rodney W. ; Dijk, Herman K. van |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | Posterior probability | Grassman manifold | Orthogonal group | Cointegration | Model averaging | Stochastic trend | Impulse response | Vector autoregressive model | Great Ratios | Liquidity trap | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Liquiditätspräferenz | Liquidity preference | Kointegration | Modellierung | Scientific modelling | VAR-Modell | VAR model | Dynamische Wirtschaftstheorie | Economic dynamics | USA | United States |
Saved in:
freely available
Extent: | Online-Ressource (50 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2008,096 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/86736 [Handle] |
Classification: | C11 - Bayesian Analysis ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011377110