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Monetary policy in a small open economy model : a DSGE-VAR approach for Switzerland
Bäurle, Gregor; Menz, Tobias - 2008
We study the transmission of monetary shocks and monetary policy with a behavioral model, corrected for potential misspecification using the DSGE-VAR framework elaborated by DelNegro and Schorfheide (2004). In particular, we investigate if the central bank should react to movements in the...
Persistent link: https://www.econbiz.de/10003882303
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Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021 - This version: 25th February 2021
Persistent link: https://www.econbiz.de/10012585978
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Identifying news shocks with forecast data
Hirose, Yasuo; Kurozumi, Takushi - In: Macroeconomic dynamics 25 (2021) 6, pp. 1442-1471
Persistent link: https://www.econbiz.de/10012618220
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Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021
“high-frequency” identification scheme, we illustrate our method by identifying uncertainty shock for the U.S. economy. As … estimating a mixed-frequency framework. The bias is amplified in case of a large mismatching between the high-frequency shock and …
Persistent link: https://www.econbiz.de/10013226228
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Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021
“high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US … estimating a mixed-frequency framework. The bias is amplified when we identify a higher frequency shock …
Persistent link: https://www.econbiz.de/10013244964
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Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021
Persistent link: https://www.econbiz.de/10012792759
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The expectational effects of news in business cycles : evidence from forecast data
Miyamoto, Wataru; Nguyen, Thuy Lan - In: Journal of monetary economics 116 (2020), pp. 184-200
Persistent link: https://www.econbiz.de/10012495170
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A multiple DSGE-VAR approach : priors from a combination of DSGE models and evidence from Japan
Iiboshi, Hirokuni - In: Japan and the world economy : international journal of … 40 (2016), pp. 1-8
Persistent link: https://www.econbiz.de/10011700706
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A Bayesian Sequential Method for Identifying Structural Shocks and Adaptive Forecasting in State Space Model
Jun, Duk Bin; Kim, Seung Hyun; Park, Dae Keun - 2014
The repeated occurrences of interventions in observations make most forecasting models fail to produce appropriate forecasts. The purpose of this study is to propose the adaptive forecasting procedure based on sequential identifications of interventions and adjusting forecast to them in general...
Persistent link: https://www.econbiz.de/10014036695
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Forecasting with a DSGE model of a small open economy within the Monetary Union
Marcellino, Massimiliano; Rychalovska, Yuliya - In: Journal of forecasting 33 (2014) 5, pp. 315-338
Persistent link: https://www.econbiz.de/10010425650