We estimate the effects of domestic and foreign quantitative easing (QE) programmes on a small open economy, Sweden, using a structural BVAR model. Domestic QE raised GDP, lowered unemployment and depreciated the currency, while effects on in ation are less clear. The ECB QE had large positive...

We consider forecast combination and, indirectly, model selection for VAR models when there is uncertainty about which variables to include in the model in addition to the forecast variables. The key difference from traditional Bayesian variable selection is that we also allow for uncertainty...

"Leaning against the wind" - a tighter monetary policy than necessary for stabilizing inflation around the inflation target and unemployment around a long-run sustainable rate - has been justified as a way of reducing household indebtedness. In a recent paper Lars Svensson claims that this...

This paper estimates the interaction between monetary- and fiscal policy using a structural VAR model with time-varying parameters. For demand and supply shocks, the two policies are estimated to be complementary, while for monetary and fiscal policies shocks the two policies act as substitutes....

Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...

We study the role of heterogeneity in the revenues of individual firms for euro area macroeconomic dynamics. To this end, we specify two models: a standard aggregate vector autoregressive model (VAR) and an "heterogeneous VAR" (HVAR). The VAR model includes only aggregate data, while the HVAR...

This paper provides novel estimations of a non-linear exchange rate pass-through dependent on inflation for Sweden using a logistic smooth transition vector autoregressive model. The model enables smooth transitions between high and low inflation regimes, mirroring the dynamics of the economy...

This paper presents estimates of the effects of monetary policy shocks on the Swedish economy. A theoretical model of an open economy is used to identify a structural VAR model. The empirical results from the identified VAR model are compared with two less structural approaches for...

We report evidence that the relation between the financial sector share, private savings and growth in the United States 1948-1996 is characterized by several regime shifts. The finding is based on vector autoregressions on quarterly data that allow for Markov switching regimes. The evidence may...

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the Euro area during 1994Q1-2002Q4. We compare the DSGE model and a few variants of this model to various reduced form forecasting models such as vector autoregressions (VAR) and...