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Fernández-Villaverde, Jesús - Department of Economics, University of Pennsylvania - 2009

In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has...

Persistent link: https://www.econbiz.de/10005126689

Measuring business cycles: A review

Škare, Marinko; Stjepanović, Saša - In: Contemporary Economics 10 (2016) 1, pp. 83-94

This article summarizes the main findings on problems related to the measurement and identification of business cycles …. The aim of this study is to define and identify the determinants of business cycles. This paper provides an overview of … literature, but none is perfect. A new development in the field lies in spectral analysis methods for measuring business cycles …

Persistent link: https://www.econbiz.de/10011659877

Measuring business cycles : a review

Škare, Marinko; Stjepanović, Saša - In: Contemporary economics 10 (2016) 1, pp. 83-94

Persistent link: https://www.econbiz.de/10011453001

Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?

Huseynov, Salman; Ahmadov, Vugar; Adigozalov, Shaig - Volkswirtschaftliche Fakultät, … - 2014

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare forecasting ability of the different models with that of...

Persistent link: https://www.econbiz.de/10011251893

Assessing the economy-wide effects of quantitative easing

Kapetanios, George; Mumtaz, Haroon; Stevens, Ibrahim; … - Bank of England - 2012

This paper examines the macroeconomic impact of the first round of quantitative easing (QE) by the Bank of England which started in March 2009. Although Bank Rate, the UK policy rate, was reduced to ½%, effectively its lower bound, the Bank’s Monetary Policy Committee felt that additional...

Persistent link: https://www.econbiz.de/10011070873

Forecasting Romanian GDP Using a BVAR Model

Caraiani, Petre - In: Journal for Economic Forecasting (2010) 4, pp. 76-87

In this study I use the Bayesian VAR framework to forecast the dynamics of output for the Romanian economy. I estimate several versions of Bayesian VARs and compare them in terms of forecasting statistics with two standard models, the OLS and the unrestricted VAR, as well as with a naïve...

Persistent link: https://www.econbiz.de/10008784887

Evaluating DSGE model forecasts of comovements

Herbst, Edward; Schorfheide, Frank - In: Journal of Econometrics 171 (2012) 2, pp. 152-166

This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and...

Persistent link: https://www.econbiz.de/10010588321

Monetary Transmission Mechanism and Time Variation in the Euro Area

Bagzibagli, Kemal - Department of Economics, University of Birmingham - 2012

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic...

Persistent link: https://www.econbiz.de/10010602477

BAYESIAN ANALYSIS OF CARTEL STABILITY AND REGIME SWITCHING

EISENSTAT, Eric - In: Annals of Spiru Haret University, Economic Series 1 (2010) 1, pp. 85-95

Empirical analysis of collusive regimes typically requires the construction of structural econometric models, with explicit ties to theoretical models of firm behavior in equilibrium. To that end, theory often elicits a wealth of important information regarding the structural parameters,...

Persistent link: https://www.econbiz.de/10008829837

Prior selection for vector autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2012

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-ofsample forecasts, particularly for models with many variables. A...

Persistent link: https://www.econbiz.de/10011605539