This study uses a Bayesian VAR to demonstrate that the recent house price boom in Germany can be explained by falling interest rates and that higher interest rates are likely suciffient to stop the increase of German house prices. The latter suggests a potential drawback of the current monetary...

We study the time-varying impact of Economic Policy Uncertainty (EPU) on the US Economy by using a VAR with time-varying coefficients. The coefficients are allowed to evolve gradually over time which allows us to discover structural changes without imposing them a priori. We find three different...

House price cycles may have considerable macroeconomic effects even if they evolve heterogeneous across local markets. In this paper we use a panel Markov switching model allowing for time-varying volatility to analyze national and state level house price regimes for the US jointly. Our approach...

We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...

Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven...

This study considers Bayesian variable selection in the Phillips curve context by using the Bernoulli approach of Korobilis (2013a). The Bernoulli model, however, is unable to account for model change over time, which is important if the set of relevant predictors changes over time. To tackle...