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Working Paper 45
Kaufmann, Sylvia - Oesterreichische Nationalbank - 2001
monetary policy. The asymmetry of the effects is captured by allowing for state-dependent parameters where the latent state …
Persistent link: https://www.econbiz.de/10010727727
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Is there an asymmetric effect on monetary policy over time? A bayesian analysis using austrian data
Kaufmann, Sylvia - Oesterreichische Nationalbank - 2001
monetary policy. The asymmetry of the effects is captured by allowing for state-dependent parameters where the latent state …
Persistent link: https://www.econbiz.de/10005802627
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Is there an asymmetric effect of monetary policy over time? A Bayesian analysis using Austrian data.
Kaufmann, Sylvia - In: Empirical Economics 27 (2002) 2, pp. 277-297
monetary policy. The asymmetry of the effects is captured by allowing for state-dependent parameters where the latent state …
Persistent link: https://www.econbiz.de/10005382475
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Working Paper 56
Kaufmann, Sylvia - Oesterreichische Nationalbank - 2002
This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity … monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is captured …-sectional asymmetry. JEL classification: C11, C23, E51 …
Persistent link: https://www.econbiz.de/10010727765
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Asymmetries in bank lending behaviour. Austria during the 1990s
Kaufmann, Sylvia - European Central Bank - 2001
This paper investigates both cross-sectional asymmetry (related to bank-specific characteristics like size and … to monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is …-sectional asymmetry. JEL Classification: C11, C23, E51 …
Persistent link: https://www.econbiz.de/10005530769
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Asymmetries in Bank Lending Behaviour. - Austria During the 1990s
Kaufmann, Sylvia - Oesterreichische Nationalbank - 2002
This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity … monetary policy. The first type of asymmetry is accounted for by including interaction terms, and the second type is captured …-sectional asymmetry. …
Persistent link: https://www.econbiz.de/10005273258
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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2009
This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...
Persistent link: https://www.econbiz.de/10011256285
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Computational tools for comparing asymmetric GARCH models via Bayes factors
Ehlers, Ricardo S. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 5, pp. 858-867
In this paper we use Markov chain Monte Carlo (MCMC) methods in order to estimate and compare GARCH models from a Bayesian perspective. We allow for possibly heavy tailed and asymmetric distributions in the error term. We use a general method proposed in the literature to introduce skewness into...
Persistent link: https://www.econbiz.de/10010751795
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Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions
Hu, Shuowen; Poskitt, D.S.; Zhang, Xibin - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 732-740
In this paper, we propose a new methodology for multivariate kernel density estimation in which data are categorized into low- and high-density regions as an underlying mechanism for assigning adaptive bandwidths. We derive the posterior density of the bandwidth parameters via the...
Persistent link: https://www.econbiz.de/10010577738
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Confronting Prior Convictions: On Issues of Prior Sensitivity and Likelihood Robustness in Bayesian Analysis
Lopes, Hedibert F.; Tobias, Justin L. - In: Annual Review of Economics 3 (2011) 1, pp. 107-131
In this review we explore issues of the sensitivity of Bayes estimates to the prior and form of the likelihood. With respect to the prior, we argue that non-Bayesian analyses also incorporate prior information, illustrate that the Bayes posterior mean and the frequentist maximum likelihood...
Persistent link: https://www.econbiz.de/10010603967