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develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …
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In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
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stochastic general equilibrium (DSGE) model with Bayesian estimation technique. In contrast to existing approaches, our DSGE …
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