This paper develops a forecasting procedure based on a Bayesian method for estimating vector autoregressions. The procedure is applied to ten macroeconomic variables and is shown to improve out-of-sample forecasts relative to univariate equations. Although cross-variables responses are damped by...

When monthly data on production, prices, and the money stock are interpreted, via a vector autoregression, as generated by dynamic responses to "surprises" in each of the variables, a remarkable similarity in dynamics between interwar and postwar business cycles emerges, though the size of the...

Most macroeconomic models treat the central bank and the treasury as a unified entity. The balance sheet of the central bank is therefore implicitly treated as an accounting fiction. While this is often realistic, the central bank balance sheet has implications for central bank independence....