Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - In: Journal of the Japanese and International Economies 25 (2011) 3, pp. 225-245
This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals the time-varying...
