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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

Bayesian Nonparametric Conditional Copula Estimation of Twin Data

Dalla Valle, Luciana - 2017

propose a flexible Bayesian nonparametric approach for the estimation of conditional copulas, which can model any conditional …

Persistent link: https://www.econbiz.de/10012969727

Bayesian Markov Switching Tensor Regression For Time-Varying Networks

Billio, Monica - 2018

We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) of binary time series. We assume a zero-inflated logit dynamics with time-varying parameters and apply it to multi-layer temporal networks. The original contribution is threefold. First, in order...

Persistent link: https://www.econbiz.de/10012917228

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

Demand, Markups and the Business Cycle. Bayesian Estimation and Quantitative Analysis in Closed and Open Economies

Cavallari, Lilia - 2017

We generalize the demand side of a Real Business Cycle model introducing non-homothetic preferences over differentiated final goods. Under monopolistic competition this generates variable markups that depend on the level of consumption. We estimate a flexible preference specification through...

Persistent link: https://www.econbiz.de/10012952742

Forecasting Time Series With Long Memory and Level Shifts : A Bayesian Approach

Di Sanzo, Silvio - 2007

Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series model to be able to assess their relative...

Persistent link: https://www.econbiz.de/10014050821

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

Financial Factors : Implications for Output Gaps

Rabanal, Pau - 2015

We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some...

Persistent link: https://www.econbiz.de/10013016603

The Sources of Business Cycles in a Low Income Country

Houssa, Romain - 2015

We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks including productivity, credit supply, and commodity price shocks. We identify the shocks with a combination of sign and recursive restrictions...

Persistent link: https://www.econbiz.de/10013025500

Financial Frictions in Data : Evidence and Impact

Taheri Sanjani, Marzie - 2015

cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Auto regression and New … risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish … counter-cyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default …

Persistent link: https://www.econbiz.de/10013028667