Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2023
censored observations of a latent shadow-rate process, and propose an efficient sampler for Bayesian estimation of such “shadow-rate … including both. In comparison to a standard VAR, shadow-rate VARs generate superior predictions for short- and long … the ELB binds or not. After an adverse shock, our shadow-rate VAR sees a stronger decline of economic activity at the ELB …