of the different models, respectively. We find that overall the large Bayesian VAR and the Bayesian factor augmented VAR …

notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …

models, a large Bayesian VAR and model averaging techniques, where aggregation takes place before, during and after the … estimation of the different models, respectively. We find that overall the large Bayesian VAR provides the most precise forecasts … compared to the other large scale approaches and a number of small benchmark models. For some variables the large Bayesian VAR …

estimating the level of (in)stability in a financial or economic system we measure the degree of predictability of (in …