The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...

After the introduction of an exchange rate commitment and an immediate 7% depreciation of the Czech koruna of in 2013, output growth resumed but inflation remained low. Consequently, the Czech National Bank did not return policy to normal for more than three years. Using a time-varying parameter...

We develop a dynamic Bayesian model for clickthrough and conversion probabilities of paid search advertisements. These probabilities are subject to changes over time, due to e.g. changing consumer tastes or new product launches. Yet, there is little empirical research on these dynamics. Gaining...

We first consider an extension of the generalized autoregressive conditional heteroskedasticity (GARCH) model that allows for a more flexible weighting of financial squared-returns for the filtering of volatility. The parameter for the squared-return in the GARCH model is time- varying with an...

This paper proposes a novel approach to introduce time-variation in structural parameters of DSGE models. Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood...

The goal of this paper is to identify and compare the most important changes in the structure of the Czech economy, as a small open economy with independent monetary policy, the Slovak economy, as a small open economy that entered monetary union, and the economy of the euro area, which has a...

We estimate the effect of government spending shocks on the US economy with a time-varying parameter vector autoregression. The recent Great Recession period appears to be characterized by uniquely large impulse responses of output to fiscal shocks. Moreover, the particularity of this period is...

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...

We extend the literature on economic forecasting by constructing a mixed-frequency time-varying parameter vector autoregression with stochastic volatility (MF-TVP-SVVAR). The latter is able to cope with structural changes and can handle indicators sampled at different frequencies. We conduct a...

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.