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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
We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...
Persistent link: https://www.econbiz.de/10011415576
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
Persistent link: https://www.econbiz.de/10015047395
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
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
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 factor in the error variances vary over time. We can therefore …
Persistent link: https://www.econbiz.de/10011903709
data well. We propose an econometric approach that confronts such theories with data through the lens of a time series …
Persistent link: https://www.econbiz.de/10012792815
Most analyses of the U.S. Great Moderation have been based on VAR methods, and have consistently pointed toward good luck as the main explanation for the greater macroeconomic stability of recent years. Using data generated by a New-Keynesian model in which the only source of change is the move...
Persistent link: https://www.econbiz.de/10003563240
We study cross-country differences in monetary policy transmission across the large four euro-area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country...
Persistent link: https://www.econbiz.de/10011444752