Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known Bayesian model averaging (BMA) and the recently developed weighted average least squares (WALS). Both methods propose to combine frequentist estimators using Bayesian weights....

This paper investigates the differences between parameter estimates of monetary policy reaction functions using real-time data and those using revised data. The model is a New Keynesian DSGE model of the Czech, Hungarian and Polish small open economies in interaction with the euro area. Unlike...

Through the lens of the Taylor rule, this paper is concerned with the circumstances in which the Fed would change its behavior. A Bayesian MCMC method is proposed to deal with a switching Taylor rule robust to zero lower bound and heteroscedasticity. The posterior results from Markov-switching...

Este documento describe una versión actualizada del Modelo de Proyección Trimestral utilizado por funcionarios de la Gerencia Central de Estudios Económicos del BCRP para fines de simulación de política monetaria y de proyección de las principales variables macroeconómicas del Perú. Se...

This paper examines empirically the Phillips curve relationship for the Chinese economy. We use quarterly data that go back to 1978 and employ a multivariate rather than univariate method in the construction of gap measures for inflation, money and output jointly with reliable error bands. Our...

This paper presents a DSGE model in which agents׳ learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted...

In this paper we estimate the monetary policy reaction function of the National Bank of Slovakia and the possible impact of an independent monetary policy on the Slovak economy in 2009 and 2010, when the global economic recession had the strongest impact on Slovakia. We estimate a small...

In this paper, we propose a Bayesian VAR model to examine the short term effects of monetary policy shocks on the Italian economy. Firstly, our BVAR model uses the Cholesky decomposition to identify four kinds of macroeconomic shocks, namely, supply, demand, interest rate and monetary shocks....

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the general principle of Bayesian estimation applied to a VAR, we first present the methodology originally developed by Litterman (1986) and Doan et Al....

Este documento describe un modelo neokeynesiano para una pequeña economía abierta con dolarización parcial, que se asemeja al Modelo de Proyección Trimestral (MPT) del Banco Central de Reserva del Perú (Vega y otros, 2009), y estima un grupo importante de sus parámetros con métodos...