Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009
This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...
