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A New Index of Financial Conditions
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011108998
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - In: European Economic Review 71 (2014) C, pp. 101-116
We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the...
Persistent link: https://www.econbiz.de/10011048625
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Department of Economics, Adam Smith Business School
We use factor augmented vector autoregressive models with time-varying coe¢ cients to construct a …nancial conditions index. The time-variation in the parameters allows for the weights attached to each …nancial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011019232
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2013
We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10010678559
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Modeling the relationship between European carbon permits and certified emission reductions
Koop, Gary; Tole, Lise - In: Journal of Empirical Finance 24 (2013) C, pp. 166-181
Recent years have seen an expansion of carbon markets around the world as various policymakers attempt to reduce CO2 emissions. This paper considers two of the major types of carbon permits: European Union Allowances (EUAs, arising from the European Union Emissions Trading Scheme, EU ETS) and...
Persistent link: https://www.econbiz.de/10010729490
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10011112017
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Using VARs and TVP-VARs with Many Macroeconomic Variables
Koop, Gary - Economics Department, University of Strathclyde - 2013
approach in detail. This involves the use of dynamic model selection methods with large TVP-VARs. A forecasting exercise …
Persistent link: https://www.econbiz.de/10010826296
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - In: Journal of Econometrics 177 (2013) 2, pp. 185-198
In this paper, we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … dimension can change over time. For instance, we can have a large TVP-VAR as the forecasting model at some points in time, but a … use of forgetting factor methods and are, thus, computationally simple. An empirical application involving forecasting …
Persistent link: https://www.econbiz.de/10011052255
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - Department of Economics, Adam Smith Business School - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10009652479
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Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel; Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2011
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10009653403