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A non-linear multivariate model of the UK real exchange rate
Milas, Costas - 2001
Persistent link: https://www.econbiz.de/10001636887
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Addressing COVID-19 outliers in BVARs with stochastic volatility
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022
The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...
Persistent link: https://www.econbiz.de/10013184356
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709
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A severity function approach to scenario selection
Mokinski, Frieder - 2017
The severity function approach (abbreviated SFA) is a method of selecting adverse scenarios from a multivariate density. It requires the scenario user (e.g. an agency that runs banking sector stress tests) to specify a "severity function", which maps candidate scenarios into a scalar severity...
Persistent link: https://www.econbiz.de/10011755965
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Bayesian VARs and prior calibration in times of COVID-19
Hartwig, Benny - 2022
This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...
Persistent link: https://www.econbiz.de/10013472790
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Detecting excessive credit growth : an approach based on structural counterfactuals
Saß, Magnus - 2024
The Basel credit-to-GDP gap is the single most popular measure of excessive credit growth and the financial cycle in general. It is based, however, on a purely statistical understanding of excessiveness: Growth is excessive if the credit-to-GDP ratio (i.e. the ratio of credit to nominal GDP) is...
Persistent link: https://www.econbiz.de/10015053486
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Forecasting, causality and cointegration analysis using vector autoregressions
Charemza, Wojciech; Deadman, Derek F. - 1991
Persistent link: https://www.econbiz.de/10000886903
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The shocks matter : improving our estimates of exchange rate pass-through
Forbes, Kristin; Hjortsoe, Ida; Nenova, Tsvetelina - 2015
A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose …
Persistent link: https://www.econbiz.de/10011384119
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Forecasting inflation and real GDP : Bayesian VAR models of the New Zealand economy
Wong, Jason; Jolly, Peter - 1993
Persistent link: https://www.econbiz.de/10000914863
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Core inflation : robust common trend model forecasting
Moreira, Ajax; Migon, Hélio dos Santos - 2015
The monetary authorities need a future measure of inflation trend to keep on tracking the inflation on target. Many … alternatives of the core inflation measure have appeared in the recent literature pretending to avoid the deficiencies of the usual … headline inflation index as a predictor. This price index is defined as some weighted average of the individual price change of …
Persistent link: https://www.econbiz.de/10012018615