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Poudyal, Niraj; Spanos, Aris - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25

, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting …

Persistent link: https://www.econbiz.de/10013355187

Responses to monetary policy shocks in the east and the west of Europe : a comparison

Jarociński, Marek - 2008

This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...

Persistent link: https://www.econbiz.de/10003825885

Responses to Monetary Policy Shocks in the East and West of Europe : A Comparison

Jarocinski, Marek - 2009

Persistent link: https://www.econbiz.de/10012765781

Evidence on features of a DSGE business cycle model from Bayesian model

Strachan, Rodney W.; Dijk, Herman K. van - 2012

Persistent link: https://www.econbiz.de/10009722689

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Strachan, Rodney W. - 2012

The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...

Persistent link: https://www.econbiz.de/10013108781

Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

Strachan, Rodney W. - 2012

The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...

Persistent link: https://www.econbiz.de/10013110953

Forecasting with Approximate Dynamic Factor Models : The Role of Non-Pervasive Shocks

Luciani, Matteo - 2011

, Bayesian shrinkage, and factor models together with Bayesian shrinkage for the idiosyncratic component. The results of the … forecasting exercise show that the four approaches considered perform equally well and produce highly correlated forecasts …, meaning that non-pervasive shocks are of no helps in forecasting. We conclude that comovements captured by factor models are …

Persistent link: https://www.econbiz.de/10013120664

Is there a carry trade channel of monetary policy in emerging countries?

Kisgergely, Kornél - 2012

This paper empirically tests whether monetary policy can have a perverse effect on aggregate demand in emerging economies, because of short-term speculative inflows. For this purpose, a bayesian VAR is estimated on a panel of six major emerging countries. Monetary and risk shocks are identified...

Persistent link: https://www.econbiz.de/10009564440

Partial Pooling with Cross-Country Priors : An Application to House Price Shocks

Roth, Markus - 2020

cross section. Shrinkage towards a cross-country average model helps to compensate for small country samples and reduces …

Persistent link: https://www.econbiz.de/10012839174

Demand or supply? : an empirical exploration of the effects of climate change on the macroeconomy

Ciccarelli, Matteo; Marotta, Fulvia - 2021 - This version: December 7, 2021

Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests the combined macroeconomic effects of climate change, environmental policies and technology. Overall, we find evidence of significant macroeconomic effects over the business cycle:...

Persistent link: https://www.econbiz.de/10012798835

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