Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis. Considering a large database containing national macroeconomic, financial, and trade dynamic variables for 17 OECD countries, we evaluate forecasting accuracy, and perform a structural analysis exercise using VAR models of different sizes: a standard VAR estimated by OLS and a MEDIUM and LARGE VARs estimated by a Bayesian shrinkage procedure.

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Year of publication:	2013
Authors:	Kaabia, Olfa ; Abid, Ilyes ; Guesmi, Khaled
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 31.2013, C, p. 423-432
Publisher:	Elsevier
Subject:	Contagion \| Subprime crisis \| OECD housing markets \| VAR/BVAR models \| Bayesian shrinkage

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Type of publication:	Article
Classification:	F47 - Forecasting and Simulation ; C11 - Bayesian Analysis ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010636255