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DSGE models with observation-driven time-varying parameters
Angelini, Giovanni; Gorgi, Paolo - 2018
parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE …
Persistent link: https://www.econbiz.de/10011813395
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A Bayesian infinite hidden Markov vector autoregressive model
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2016
We propose a Bayesian infinite hidden Markov model to estimate time- varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture model,...
Persistent link: https://www.econbiz.de/10011569148
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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
Callot, Laurent; Kristensen, Johannes Tang - 2014
finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with …
Persistent link: https://www.econbiz.de/10010433901
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Visualizing the invisible : estimating the New Keynesian output gap via a Bayesian approach
Willems, Tim - 2010
separating trend from cycle via Bayesian estimation of a New Keynesian model, augmented with an unobserved components model for …
Persistent link: https://www.econbiz.de/10011378920
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What goes up sometimes stays up : shocks and institutions as determinants of unemployment persistence
Amisano, Gianni; Serati, Massimiliano - 2002
We analyse the determinants of unemployment persistence in four OECDcountries byestimating a structural Bayesian VAR … with an informative priorbased on an insiders/outsiders model. We explicitly insert unemployment ben-efits and labour taxes … shocks play adominant role in explaining unemployment also in the medium-run. Moreoverreal wages have low sensitivity to …
Persistent link: https://www.econbiz.de/10011327831
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The regional impact of monetary policy in Indonesia
Ridhwan, Masagus M.; Groot, Henri L. F. de; Rietveld, Piet - 2011
This paper employs Vector Autoregression (VAR) models to measure the impact of monetary policy shocks on regional output in Indonesia. Having incorporated a possible structural break following the aftermath of the 1997-98 Asian Crisis, the impulse response functions derived from the estimated...
Persistent link: https://www.econbiz.de/10011386474
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Disentangling Covid-19, economic mobility, and containment policy shocks
Camehl, Annika; Rieth, Malte - 2021
We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly...
Persistent link: https://www.econbiz.de/10012434050
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Transmission of government spending shocks in the Euro area : time variation and driving forces
Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010
Persistent link: https://www.econbiz.de/10003973297
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Transmission of government spending shocks in the Euro area : time variation and driving forces
Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010
This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...
Persistent link: https://www.econbiz.de/10011380027
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The comovement between real activity and prices in the G7
Den Haan, Wouter J. - 2002
In this paper, we study the short-run and long-run comovement between prices and real activity in the G7 countries during the postwar period using vector autoregressive systems and frequency-domain filters. We find several patterns that are robust across countries and time periods. Typically,...
Persistent link: https://www.econbiz.de/10011327530