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Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10010326552

Melting down: Systemic financial instability and the macroeconomy

Hartmann, Philipp; Hubrich, Kirstin; Kremer, Manfred; … - 2013

employ a richly specified Markov-Switching Vectorautoregression model to capture the dynamic relationships between a set of …

Persistent link: https://www.econbiz.de/10010329595

Identification of prior information via moment-matching

Sacht, Stephen - 2014

In this paper we apply a sensitivity analysis regarding two types of prior information considered within the Bayesian …, Franke et al. (2012)) and Bayesian technique in order to evaluate macropriors. In this respect we define a two …-stage estimation procedure - the so-called Moment-Matching based Bayesian (MoMBay) estimation approach - where we take the point …

Persistent link: https://www.econbiz.de/10010330305

Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model

Yang, Fuyu; Hautsch, Nikolaus - 2010

the underlying yield factors. We propose a Markov chain Monte Carlo (MCMC) algorithm to efficiently estimate the SVNS …In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model … work efficiently and is easily adapted to alternative specifications of dynamic factor models revealing (multivariate …

Persistent link: https://www.econbiz.de/10010330966

How interdependent are Eastern European economies and the Euro area?

Prettner, Catherine; Prettner, Klaus - 2014

This article investigates the interrelations between the Euro area and five Central and Eastern European economies. Using an open economy framework, we derive theoretical restrictions to be imposed on the cointegration space of a structural vector error correction model. We employ generalized...

Persistent link: https://www.econbiz.de/10010332138

DSGE priors for BVAR models

Filippeli, Thomai; Theodoridis, Konstantinos - 2014

methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Chernozhukov and Hong (2003) and Theodoridis (2011) to derive the quasi Bayesian posterior distribution of the DSGE parameter …

Persistent link: https://www.econbiz.de/10010368161

A Bayesian Infinite Hidden Markov Vector Autoregressive Model

Nibbering, Didier; Paap, Richard; van der Wel, Michel - 2016

We propose a Bayesian infinite hidden Markov model to estimate time-varying parameters in a vector autoregressive model …. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the …

Persistent link: https://www.econbiz.de/10011586722

Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs

Villani, Mattias; Warne, Anders - 2003

analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited … handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated …

Persistent link: https://www.econbiz.de/10011604342

To aggregate or not to aggregate? Euro area inflation forecasting

Benalal, Nicholai; Diaz del Hoyo, Juan Luis; Landau, Bettina - 2004

In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a whole, considering the four largest euro...

Persistent link: https://www.econbiz.de/10011604420

On the fit and forecasting performance of New-Keynesian models

Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - 2005

The paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR),...

Persistent link: https://www.econbiz.de/10011604537