In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

Fairtrade certification aims at transferring wealth from the consumer to the farmer; however, coffee passes through many hands before reaching final consumers. Bringing together retail, wholesale, and stock market data, this study estimates how much more consumers are paying for Structural VAR...

Structural VAR models are routinely estimated by Bayesian methods. Several recent studies have voiced concerns about the common use of posterior median (or mean) response functions in applied VAR analysis. In this paper, we show that these response functions can be misleading because in...

This paper advances the application of Bayesian graphical structural vector autoregressive (BGSVAR) models to address the problem of impulse response estimation in VAR-based systems. The BGSVAR is designed as a robust empirical framework for impulse response estimation using information from the...

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

In this paper we apply a sensitivity analysis regarding two types of prior information considered within the Bayesian estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on the estimation outcome. First, we investigate the...

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...