Search Results - subject:"time varying parameter"

Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models

Korobilis, Dimitris - Economics Department, University of Strathclyde - 2009

The evolution of monetary policy in the U.S. is examined based on structural dynamic factor models. I extend the current literature which questions the stability of the monetary transmission mechanism, by proposing and studying time-varying parameters factor-augmented vector autoregressions...

Persistent link: https://www.econbiz.de/10004969121

Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and …

Persistent link: https://www.econbiz.de/10004972461

Rational Addiction Evidence From Carbonated Soft Drinks

Xiaoou, Liu - International Association of Agricultural Economists - IAAE - 2009

time-varying parameter model and scanner data from 46 U.S. cities. Empirical results provide strong evidence that …

Persistent link: https://www.econbiz.de/10010913439

Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2009

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and …

Persistent link: https://www.econbiz.de/10005034714

Forecasting inflation with gradual regime shifts and exogenous information

González, Andrés; Hubrich, Kirstin; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2009

discussed in Section 4.1. 2.3 Other approaches The SM-AR model is an example of a time-varying parameter model, but there are … model. i Keywords: Nonlinear forecast; nonlinear model; nonlinear trend; penalised likelihood; structural shift; time-varying … parameter JEL Classi�cation Codes: C22; C52; C53; E31; E47 Acknowledgements. This research has been supported by the European …

Persistent link: https://www.econbiz.de/10005787545

Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models

Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2009

This paper extends the current literature which questions the stability of the monetary transmission mechanism, by using a Dynamic Factor Model with time-varying parameters, which allows fast and efficient inference based on hundreds of explanatory variables. Different specifications are...

Persistent link: https://www.econbiz.de/10008511774

Assessing the transmission of monetary policy using dynamic factor models

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009

This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change...

Persistent link: https://www.econbiz.de/10008765930

Investigating the Presence of Regional Economic Growth Convergence in the Philippines using Kalman Filter

Mapa, Dennis S; Sandoval, Monica Flerida B; Yap, David … - Volkswirtschaftliche Fakultät, … - 2009

reveals several convergence characteristics of individual regions over time. Dynamic convergence is determined by the time-varying … parameter (TVP) model derived using the Kalman Filter. The paper proceeds to examine the individual convergence behavior of each …

Persistent link: https://www.econbiz.de/10008636496

Changes in inflation dynamics under inflation targeting? Evidence from Central European countries

Baxa, Jaromír; Plašil, Miroslav; Vašíček, Bořek - In: Economic Modelling 44 (2015) C, pp. 116-130

Many countries have implemented inflation targeting in recent decades. At the same time, the international conditions have been favorable, so it is hard to assess to what extent the success in stabilizing inflation should be attributed to good luck and to what extent to the specific policy...

Persistent link: https://www.econbiz.de/10011116953

Determinants of inflation in India

Mohanty, Deepak; John, Joice - In: Journal of Asian Economics 36 (2015) C, pp. 86-96

regression (SVAR) model. Further, the temporal changes in inflation dynamics are analyzed using a time varying parameter SVAR …

Persistent link: https://www.econbiz.de/10011189731