This paper investigates the evolution of monetary policy in the U.S. using a standard set of macroeconomic variables. Many recent papers have addressed the issue of whether the monetary transmission mechanism has changed (e.g. due to the Fed taking a more aggressive stance against ination) or...

We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about...

The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...

In this paper we contribute to the literature on the identification of macroeconomic shocks by proposing a Bayesian SVAR with timevarying volatility of innovations that depend on a hidden Markov process, referred to as an MS-SVAR. With sufficient statistical information in the data, the distinct...

This paper investigates the existence of spillovers from the housing sector onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

We develop a formal statistical approach to investigate the possibility that leading indicator variables have different lead times at business cycle peaks and troughs. For this purpose, we propose a novel Markov switching vector autoregressive model, where economic growth and leading indicators...

This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model...

This paper investigates the expectations hypothesis for the Japanese term structure of interest rates using vector error correction models with multiple structural breaks, focusing on how the breaks affect volatility, risk premium and speed of the adjustment toward the equilibrium. Using...

We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik and Paolelella 2004a). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We...