Search Results - subject:"time varying parameter"

Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods

Hauzenberger, Niko; Huber, Florian; Koop, Gary - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 201-225

Persistent link: https://www.econbiz.de/10014631913

Spillover effects between oil, gold, stock, and exchange rate returns in Thailand : an extended joint connected TVP-VAR Approach

Supanee Harnphattananusorn - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 5, pp. 62-72

Persistent link: https://www.econbiz.de/10015108231

Has the reaction function of the European Central Bank changed over time?

Tatar, Balint - 2023

I have assessed changes in the monetary policy stance in the euro area since its inception by applying a Bayesian time-varying … parameter framework in conjunction with the Hamiltonian Monte Carlo algorithm. I find that the estimated policy response has …

Persistent link: https://www.econbiz.de/10014282694

Time-varying fiscal multipliers for South Africa: A large time-varying parameter vector autoregression approach

Du Rand, Gideon; Hollander, Hylton; Van Lill, Dawie - 2023

by using a large time-varying parameter vector autoregression approach estimated with Bayesian methods. We argue for an …

Persistent link: https://www.econbiz.de/10014477472

Exchange rate pass-through in emerging Asia and exposure to external shocks

Beirne, John; Renzhi, Nuobu; Panthi, Pradeep - 2023

Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate …

Persistent link: https://www.econbiz.de/10014540497

Impact of monetary policy shocks in the Peruvian economy over time

Pérez Rojo, Flavio; Rodriguez, Gabriel - 2023 - This version: August 21, 2023

Persistent link: https://www.econbiz.de/10014430521

The effects of energy prices on oil-gas sectoral stock returns for BRIC countries : evidence from space state models

Helmi, Mohamad Husam; Catik, A. Nazif; Kosedagli, Begum … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 430-440

Persistent link: https://www.econbiz.de/10014435145

Impact of money supply in different states of inflation and economic growth in South Africa

Buthelezi, Eugene Msizi - In: Economies : open access journal 11 (2023) 2, pp. 1-22

-switching dynamic regression (MSDRM) and time-varying parameter structural vector autoregression (TVP-VAR) are used in this paper. The …

Persistent link: https://www.econbiz.de/10014230763

What can monetary policy tell us about Bitcoin?

Pietrzak, Marcin - In: Annals of finance 19 (2023) 4, pp. 545-559

Persistent link: https://www.econbiz.de/10014448303

Exchange rate pass-through in emerging Asia and exposure to external shocks

Beirne, John; Renzhi, Nuobu; Panthi, Pradeep - 2023

Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate …

Persistent link: https://www.econbiz.de/10014290882

A service of the

zbw