This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output,...

In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...

We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the...

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...

This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given the true distribution of the innovations in the...

Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

This paper estimates and compares the full participation and the segmented markets monetary frameworks. In both models, the real sector and monetary policy determine exogenously the joint process for the aggregate endowment and the short-term nominal interest rate, while the money growth rate...

This paper develops a heterogeneous agents segmented markets model with endogenous production and a monetary authority that follows a Taylor-type interest rate rule. The model is estimated using Markov chain Monte Carlo techniques and is evaluated as a framework suitable for empirical monetary...

This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of...