Showing 1 - 10 of 33
The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...
Persistent link: https://www.econbiz.de/10012966549
This paper introduces a new measure of dependence or jointness among explanatory variables. Jointness is based on the joint posterior distribution of variables over the model space, thereby taking model uncertainty into account. By looking beyond marginal measures of variable importance,...
Persistent link: https://www.econbiz.de/10013317072
Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a...
Persistent link: https://www.econbiz.de/10012913892
This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic, a growing economy undergoing major structural change, it shows how the use of more...
Persistent link: https://www.econbiz.de/10012783217
The gap between potential and actual output — the output gap — is a key variable for policymaking. This paper adapts the methodology developed in Blagrave and others (2015) to estimate the path of output gap in the U.S. economy. The results show that the output gap has considerably shrunk...
Persistent link: https://www.econbiz.de/10013019031
Potential Output is a key factor for debt sustaintability analysis and for developing strategies for growth, but unfortunately it is an unobservable variable. Using three methodologies (production function, switching, and state-space), this paper computes potential output for CAPDR countries...
Persistent link: https://www.econbiz.de/10013079881
The paper offers an approach to assessing the sustainability of public debt taking into account the effect of fiscal policy on output, as well as uncertainty in the model parameters and system dynamics. Uncertainty is specified in general terms, and the analysis is based on the notion of...
Persistent link: https://www.econbiz.de/10012956494
Output gap estimates are subject to a wide range of uncertainty owing to data revisions and the difficulty in distinguishing between cycle and trend in real time. This is important given the central role in monetary policy of assessments of economic activity relative to capacity. We show that...
Persistent link: https://www.econbiz.de/10013027622
. These findings are established through the estimation of a spatial bivariate probit model …
Persistent link: https://www.econbiz.de/10012916953
effectiveness may moderate in graying societies. It then uses Bayesian estimation techniques for the U.S., Canada, Japan, U.K., and …
Persistent link: https://www.econbiz.de/10013075540