This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec- tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

We use Bayesian Model Averaging (BMA) to evaluate the robustness of determinants of economic growth in a new dataset of 255 European regions in the period 1995-2005. We use three different specifications based on (i) the cross-section of regions, (ii) the cross-section of regions with country...

We use Bayesian Model Averaging (BMA) to evaluate the robustness of determinants of economic growth in a new dataset of 255 European regions in the period 1995-2005. We use three different specifications based on (i) the cross-section of regions, (ii) the cross-section of regions with country...

To assess the performance of multivariate density forecasts for the world economy based on a Bayesian global vector autoregressive (GVAR) model, we decompose the predictive joint density into its marginals and a copula term that captures the dependence structure among variables and countries....

We use a non-linear factor-augmented vector-autoregressive model to evaluate international effects of an unexpected decrease in euro area policy rates. Given the current environment of ultra low or negative interest rates, we especially focus on potential differences in the transmission of the...

We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...

This paper develops a global vector autoregressive (GVAR) model with time-varying parameters and stochastic volatility to analyze whether international spillovers of US monetary policy have changed over time. The proposed model allows assessing whether coefficients evolve gradually over time or...

In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...