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estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
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volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …
Persistent link: https://www.econbiz.de/10010339759
We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...
Persistent link: https://www.econbiz.de/10014252440
and stochastic shock volatility. The first policy regime responds passively to movements in inflation, adjusting the …
Persistent link: https://www.econbiz.de/10012121979
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...
Persistent link: https://www.econbiz.de/10011933414
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …
Persistent link: https://www.econbiz.de/10011812167
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …
Persistent link: https://www.econbiz.de/10012243290