In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-steps ahead forecasts. In the empirical...

We study cross-country differences in monetary policy transmission across the large four euro area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country...

This paper analyzes credit supply and demand shocks for the Swiss economy. Using a medium scale BVAR model we are able to take into account various interactions of housing prices, credit supply and demand, interest rates and real activity measures. To identify meaningful economic shocks, we used...

We generalize the basic Wishart multivariate stochastic volatility model of Philipov and Glickmann (2006) to encompass regime switching behavior. The latent state variable is driven by a first-order Markov process. In order to estimate the proposed model we use Bayesian Markov Chain Monte Carlo...

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

In this paper we propose a new small area estimation methodology aimed at the estimation of Value Added, Labor Cost and related competitiveness indicators for subsets of the population of Italian small and medium sized manufacturing firms classified according to geographical region, industrial...

Time-varying parameter models with stochastic volatility are widely used to study macroeconomic and financial data. These models are almost exclusively estimated using Bayesian methods. A common practice is to focus on prior distributions that themselves depend on relatively few hyperparameters...