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House prices and interest rates: Bayesian evidence from Germany
Hanck, Christoph; Prüser, Jan - 2016
This study uses a Bayesian VAR to demonstrate that the recent house price boom in Germany can be explained by falling interest rates and that higher interest rates are likely suciffient to stop the increase of German house prices. The latter suggests a potential drawback of the current monetary...
Persistent link: https://www.econbiz.de/10011497777
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Improving inference and forecasting in VAR models using cross-sectional information
Prüser, Jan; Blagov, Boris - 2022
shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …
Persistent link: https://www.econbiz.de/10013366009
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House prices and interest rates : Bayesian evidence from Germany
Hanck, Christoph; Prüser, Jan - 2016
This study uses a Bayesian VAR to demonstrate that the recent house price boom in Germany can be explained by falling interest rates and that higher interest rates are likely suciffient to stop the increase of German house prices. The latter suggests a potential drawback of the current monetary...
Persistent link: https://www.econbiz.de/10011494870
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House prices and interest rates : Bayesian evidence from Germany
Hanck, Christoph; Prüser, Jan - In: Applied economics 52 (2020) 28, pp. 3073-3089
Persistent link: https://www.econbiz.de/10012221482
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Data-based priors for vector error correction models
Prüser, Jan - In: International journal of forecasting 39 (2023) 1, pp. 209-227
Persistent link: https://www.econbiz.de/10014462776
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Improving inference and forecasting in VAR models using cross-sectional information
Prüser, Jan; Blagov, Boris - 2022
shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …
Persistent link: https://www.econbiz.de/10013359163