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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
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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
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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
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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
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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
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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