This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model...

This paper investigates the expectations hypothesis for the Japanese term structure of interest rates using vector error correction models with multiple structural breaks, focusing on how the breaks affect volatility, risk premium and speed of the adjustment toward the equilibrium. Using...

Purpose - The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector autoregressive (VAR) models. Design/methodology/approach - The paper adopts Bayesian VAR models with three different priors - independent Normal-Wishart prior, the Minnesota...