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Measuring and Predicting Heterogeneous Recessions

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011

This paper examines whether the Conference Board's Leading Economic Index (LEI) can be used for modeling and forecasting a more refined business cycle classification beyond the usual distinction between expansions and contractions. Univariate Markov-switching models for monthly coincident...

Persistent link: https://www.econbiz.de/10014176004

Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14

Basturk, Nalan; Çakmaklı, Cem; Ceyhan, Pinar; Dijk, … - 2013

After a brief description of the first Bayesian steps into econometrics in the 1960s and early 70s, publication and … both theoretical and applied papers, such as Journal of Econometrics, Journal of Business and Economic Statistics and … Journal of Applied Econometrics, publish the large majority of high quality Bayesian econometric papers in contrast to …

Persistent link: https://www.econbiz.de/10014151064

System Priors for Econometric Time Series

Andrle, Michal - 2017

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

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2015

This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...

Persistent link: https://www.econbiz.de/10011288392

Shock from Graying : Is the Demographic Shift Weakening Monetary Policy Effectiveness

Imam, Patrick A. - 2013

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

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/10014198031

Does the Canadian Economy Suffer from Dutch Disease?

Beine, Michel A. R.; Bos, Charles S.; Coulombe, Serge - 2014

We argue that the failure to disentangle the evolution of the Canadian currency from the U.S. currency leads to potentially incorrect conclusions regarding the case of Dutch disease in Canada. We propose a new approach that is aimed at extracting both currency components and energy- and...

Persistent link: https://www.econbiz.de/10014201102

Solving and Estimating Indeterminate DSGE Models

Farmer, Roger E. A. - 2013

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

Persistent link: https://www.econbiz.de/10013073782

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Strachan, Rodney W. - 2012

The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...

Persistent link: https://www.econbiz.de/10013108781

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W. - 2009

volatility in the disturbances. The risk of a liquidity trap in the USA and Japan is evaluated. Although this risk found to be …

Persistent link: https://www.econbiz.de/10012720260