Search Results - subject:"Time‐varying parameters"

Macroeconomic models with endogenous learning

Gaus, Eric - 2010

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.

Persistent link: https://www.econbiz.de/10009447381

Changes in the transmission of monetary policy: evidence from a time-varying factor-augmented VAR

Baumeister, Christiane; Liu, Philip; Mumtaz, Haroon - Bank of England - 2010

This paper re-examines the evolution of the US monetary transmission mechanism using an empirical framework that incorporates substantially more information than the standard tri-variate VAR model used in most previous studies. In particular, we employ an extended version of a factor-augmented...

Persistent link: https://www.econbiz.de/10009001803

Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo Maria; Paesani, Paolo; Onorante, Luca - European Central Bank - 2010

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main...

Persistent link: https://www.econbiz.de/10008560373

VAR Forecasting Using Bayesian Variable Selection

Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2010

This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large...

Persistent link: https://www.econbiz.de/10008764097

Estimating Value-At-Risk (Var) Using TIVEX-POT Models

Cayton, Peter Julian A.; Dennis S. Mapa, Ph. D.; … - In: Journal of Advanced Studies in Finance I (2010) 2, pp. 152-152

is used with the time-varying parameters being replaced from the likelihood function of the generalized Pareto … the time-varying parameter through explanatory variables (TiVEx) - peaks over thresholds model (POT). The time varying … parameters are linked to linear predictor variables through link functions. To estimate parameters, maximum likelihood estimation …

Persistent link: https://www.econbiz.de/10009144241

Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound

Baumeister, Christiane; Benati, Luca - European Central Bank - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure’ spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10008679925