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Forecasting with Bayesian global vector autoregressive models : a comparison of priors

Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - 2014

Persistent link: https://www.econbiz.de/10010359435

Do recessions occur concurrently across countries? : a multinomial logistic approach

Poon, Aubrey; Zhu, Dan - 2022

We develop a novel multinomial logistic model to detect and forecast concurrent recessions across multi-countries. The key advantage of our proposed framework is that we can detect recessions across countries using the additional informational content from the cross-country panel feature of the...

Persistent link: https://www.econbiz.de/10013365832

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …

Persistent link: https://www.econbiz.de/10011389735

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020

Financial frictions and the extensive margin of activity

Poutineau, Jean-Christophe; Vermandel, Gauthier - 2015

Persistent link: https://www.econbiz.de/10011303045

State-dependent monetary policy regimes

Zakipour-Saber, Shayan - 2019

Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority's stance on inflation. I take advantage of recent developments in solving rational...

Persistent link: https://www.econbiz.de/10011975606

Monetary policy surprises and their transmission through term premia and expected interest rates

Kaminska, Iryna; Mumtaz, Haroon; Šustek, Roman - 2020

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …

Persistent link: https://www.econbiz.de/10012316011

Monetary policy regimes and inflation persistence in the United Kingdom

Zakipour-Saber, Shayan - 2019

This paper conducts a structural analysis of inflation persistence in the United Kingdom between 1965-2009. I allow for the possibility of shifts in the U.K. economy by estimating open-economy dynamic stochastic general equilibrium models in which parameters of a Taylor-type monetary policy...

Persistent link: https://www.econbiz.de/10012121979

Priors and the slope of the Phillips curve

Jones, Callum; Kulish, Mariano; Nicolini, Juan Pablo - 2021

Persistent link: https://www.econbiz.de/10012546692

Trend inflation in Sweden

Österholm, Pär; Poon, Aubrey - 2022

data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the …

Persistent link: https://www.econbiz.de/10012818429