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Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009

restrictions, and the reduced rank Bayesian VAR of Geweke (1996). We find that using shrinkage and rank reduction in combination …

Persistent link: https://www.econbiz.de/10008528528

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014

for the term structure, specifying a common, multiplicative, time varying volatility for the VAR disturbances. Results … not only the prior variance but also the prior mean of the VAR coefficients. Our results show that both time variation in …

Persistent link: https://www.econbiz.de/10011083412

Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...

Persistent link: https://www.econbiz.de/10008468530

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

across variables. Using a combination of a standard natural conjugate prior for the VAR coefficients, and an independent … with common stochastic volatility (BVAR-CSV). Under the chosen prior the conditional posterior of the VAR coefficients …

Persistent link: https://www.econbiz.de/10011083279

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013

This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...

Persistent link: https://www.econbiz.de/10011084707

Forecasting Exchange Rates with a Large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2008

this paper, we propose to forecast exchange rates with a large Bayesian VAR (BVAR), using a panel of 33 exchange rates vis …

Persistent link: https://www.econbiz.de/10005789104

Bayesian VARs: Specification Choices and Forecast Accuracy

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

the size of the VAR, modeling in levels or growth rates, and the extent of forecast bias induced by shrinkage. We obtain a …

Persistent link: https://www.econbiz.de/10008854551