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Hidden Markov models in time series, with applications in economics
Kaufmann, Sylvia - 2016
time series process. Model estimation proceeds by data augmentation. We derive the basic forward-filtering backward …-smoothing/sampling algorithm to infer on the latent state indicator in maximum likelihood and Bayesian estimation procedures. Emphasis is again …. With simulated data, we show that the estimation of parameters under a probit functional form is more efficient. However, a …
Persistent link: https://www.econbiz.de/10011629990
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Modeling of economic and financial conditions for nowcasting and forecasting recessions: A unified approach
Çakmaklı, Cem; Demircan, Hamza; Altuğ, Sumru - 2019
In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...
Persistent link: https://www.econbiz.de/10012060224
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What drives the European carbon market? Macroeconomic factors and forecasts
Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024
Putting a price on carbon - with taxes or developing carbon markets - is a widely used policy measure to achieve the target of net-zero emissions by 2050. This paper tackles the issue of producing point, direction-of-change, and density forecasts for the monthly real price of carbon within the...
Persistent link: https://www.econbiz.de/10014548224
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014551600
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Bayesian structural VAR models: A new approach for prior beliefs on impulse responses
Bruns, Martin; Pfiffer, Michele - 2018
Structural VAR models are frequently identified using sign restrictions on impulse responses. Moving beyond the popular but restrictive Normal-inverse-Wishart-Uniform prior, we develop a methodology that can handle almost any prior distribution on contemporaneous responses. We then propose a new...
Persistent link: https://www.econbiz.de/10012144220
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
Similar to Ingram and Whiteman (1994), De Jong et al. (1993) and Del Negro and Schorfheide (2004) this study proposes a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. The moments of the...
Persistent link: https://www.econbiz.de/10010368161
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The impact on forecasts and impulse responses of restricting drift in a Vector Autoregresion
Landon-Lane, John - 2001
Inference on the long-run properties of a Vector Autoregression (VAR) consisting wholly of I(1) variables are made using Bayesian methods. In particular, the implications on the forecast and impulse response function distributions of directly estimating and restricting the drift parameters of...
Persistent link: https://www.econbiz.de/10010318363
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10012143855
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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011460766
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011460767