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Bayesian Prediction with a Cointegrated Vector Autoregression

Villani, Mattias - Sveriges Riksbank - 1999

vector autoregression is presented. The large degree of uncertainty in the choise of the cointegration vectors is … incorporated into the analysis through a prior distribution on the cointegration vectors which allows the forecaster to … different cointegration vectors are weighted together in an optimal way. The ideas of Litterman (1980) are adapted for the prior …

Persistent link: https://www.econbiz.de/10005190804

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - Sveriges Riksbank - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10005649059

Uncertainty about Length of the Monetary Policy Transmission Lag: Implications for Monetary Policy

Ha, Yuong - Sveriges Riksbank - 1999

Using stochastic simulations of the Reserve Bank of New Zealand’s macroeconomic model, this paper examines the implications for monetary policy of uncertainty about the length of the monetary policy transmission lag. Uncertainty is examined from two perspectives. The first investigates the...

Persistent link: https://www.econbiz.de/10005771150

Financial Variables and the Conduct of Monetary Policy

Goodhart, Charles; Hofmann, Boris - Sveriges Riksbank - 2000

This paper analyses the role of financial variables in the conduct of monetary policy. In the baseline model for the analysis of interest rules, the inflation rate depends on the output gap, which is solely determined by its own lags and the lagged short-term real interest rate. However, from a...

Persistent link: https://www.econbiz.de/10005771151

Conducting Monetary Policy with a Collegial Board: The New Swedish Legislation One Year On

Berg, Claes; Lindberg, Hans - Sveriges Riksbank - 2000

In this paper we discuss the recent experience of conducting monetary policy with a collegial board according to the Riksbank act. Interest rate decisions are normally taken with the aim to bring inflation in line with the 2 per cent inflation target one to two years ahead. When there are...

Persistent link: https://www.econbiz.de/10005771155

Inflation Forecast Targeting: The Swedish Experience

Berg, Claes - Sveriges Riksbank - 2000

In this paper key points in the development of the present Swedish inflation-targeting strategy are analysed. Since the implementation of the inflation target strategy began in 1993, three different phases are distinguished: the establishment of the inflation target, the communication of...

Persistent link: https://www.econbiz.de/10005771156

Involuntary Unemployment and the Business Cycle

Christiano, Lawrence J.; Trabrandt, Mathias; Walentin, Karl - Sveriges Riksbank - 2010

Can a model with limited labor market insurance explain standard macro- and labor market data jointly? We seek to construct a monetary model in which: i) the unemployed are worse off than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the...

Persistent link: https://www.econbiz.de/10008516098

Identifying VARs through Heterogeneity: An Application to Bank Runs

De Graeve, Ferre; Karas, Alexei - Sveriges Riksbank - 2010

We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose...

Persistent link: https://www.econbiz.de/10008520892

The Effect of Cash Flow on Investment: An Empirical Test of the Balance Sheet Channel

Melander, Ola - Sveriges Riksbank - 2009

This paper tests the balance sheet theory, where the status of balance sheets affects the economy´s response to monetary and other shocks. The theory predicts a positive effect of cash flow on investment, given fundamental determinants of investment. I use an empirical method developed by...

Persistent link: https://www.econbiz.de/10005051646

UIP for Short Investments in Long-Term Bonds

Alexius, Annika - Sveriges Riksbank - 2000

The empirical failure of uncovered interest parity (UIP) is one of the best-established facts of international economics. The exchange rates of countries with high nominal interest rates tend to appreciate rather than depreciate as expected from UIP. However, virtually every published test of...

Persistent link: https://www.econbiz.de/10005190796