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Credit market disequilibrium in Greece (2003-2011) : a Bayesian approach

Vouldis, Angelos T. (contributor) - European Central Bank - 2015

and demand. A Bayesian estimation methodology with data augmentation for the latent variables is used. The analysis is …

Persistent link: https://www.econbiz.de/10015298940

Granger causality and regime inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu (contributor); … - European Central Bank - 2015

which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to …

Persistent link: https://www.econbiz.de/10015298950

Variational inference for Bayesian panel VAR models

Ter Steege, Lucas (contributor) - European Central Bank - 2024

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in … Student-t residuals shows that it is computationally easy to include the COVID-19 observations in Bayesian panel VARs, thus …

Persistent link: https://www.econbiz.de/10015321114

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - European Central Bank - 2007

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...

Persistent link: https://www.econbiz.de/10005530825

Estimating Phillips curves in turbulent times using the ECB's survey of professional forecasters

Koop, Gary; Onorante, Luca - European Central Bank - 2012

This paper uses forecasts from the European Central Bank’s Survey of Professional Forecasters to investigate the relationship between inflation and inflation expectations in the euro area. We use theoretical structures based on the New Keynesian and Neoclassical Phillips curves to inform our...

Persistent link: https://www.econbiz.de/10010686766

Asymmetries in bank lending behaviour. Austria during the 1990s

Kaufmann, Sylvia - European Central Bank - 2001

captured by latent state-dependent parameters. Estimation is cast into a Bayesian framework, and the posterior inference is …

Persistent link: https://www.econbiz.de/10005530769

Investigating inflation persistence across monetary regimes

Benati, Luca - European Central Bank - 2008

Under inflation targeting inflation exhibits negative serial correlation in the United Kingdom, and little or no persistence in Canada, Sweden and New Zealand, and estimates of the indexation parameter in hybrid New Keynesian Phillips curves are either equal to zero, or very low, in all...

Persistent link: https://www.econbiz.de/10005222390

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - European Central Bank - 2003

JEL Classification: C11, C15, F41, F42, G15

Persistent link: https://www.econbiz.de/10005816160