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Empirical evidence on the dynamics of investment under uncertainty in the US

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012224674

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Journal of monetary economics 101 (2019), pp. 31-46

Persistent link: https://www.econbiz.de/10012264750

Triple the gamma : a unifying shrinkage prior for variance and variable selection in sparse state space and TVP models

Cadonna, Annalisa; Frühwirth-Schnatter, Sylvia; Knaus, … - In: Econometrics : open access journal 8 (2020) 2/20, pp. 1-36

Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable. However, in particular when the number of explanatory variables is large, there is a known risk of overfitting and poor predictive performance, since...

Persistent link: https://www.econbiz.de/10012265494

The economic drivers of volatility and uncertainty

Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2020

Persistent link: https://www.econbiz.de/10012301117

Alternative to large VAR, VARMA and multivariate stochastic volatility models

Tsionas, Efthymios G. - 2016

Persistent link: https://www.econbiz.de/10011581073

Common drifting volatility in large Bayesian VARs

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 375-390

Persistent link: https://www.econbiz.de/10011691646

Stochastic model specification search for time-varying parameter VARs

Eisenstat, Eric; Chan, Joshua; Strachan, Rodney W. - In: Econometric reviews 35 (2016) 8/10, pp. 1638-1665

Persistent link: https://www.econbiz.de/10011592382

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time …. For eleven U.S. variables, we examine the performance of our model and compare the results to the time-constant MF-VAR of …

Persistent link: https://www.econbiz.de/10011903709

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US … suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about … these volatility effects are driven by the coexistence of agents' fears of unemployment and concerns about the (in) ability …

Persistent link: https://www.econbiz.de/10011928806

A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets

Casarin, Roberto; Sartore, Domenico; Tronzano, Marco - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 101-114

Persistent link: https://www.econbiz.de/10011894407