Similar Search Results

Structural panel Bayesian VAR with multivariate time-varying volatility to jointly deal with structural changes, policy regime shifts, and endogeneity issues

Pacifico, Antonio - In: Econometrics : open access journal 9 (2021) 2, pp. 1-35

the estimating procedure. Findings from evidence-based forecasting are also addressed to evaluate the impact of an ongoing …

Persistent link: https://www.econbiz.de/10012547425

Strategic interactions in U.S. monetary and fiscal policies

Chen, Xiaoshan; Leeper, Eric M.; Leith, Campbell B. - In: Quantitative economics : QE ; journal of the … 13 (2022) 2, pp. 593-628

We estimate a model in which fiscal and monetary policy obey the targeting rules of distinct policy authorities, with potentially different objective functions. We find: (1) Time‐consistent policy fits U.S. time series at least as well as instrument‐rules‐based behavior; (2) American...

Persistent link: https://www.econbiz.de/10013382042

A Markov-Switching DSGE model for measuring the output gap in Brazil

Oliveira, Eleonora de; Palma, Andreza Aparecida; … - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-15

implications for forecasting inflation rates and understanding the mechanisms of monetary policy transmission. Traditional filters …

Persistent link: https://www.econbiz.de/10015055077

Bayesian econometrics

Bernardi, Mauro (ed.); Grassi, Stefano (ed.); … - 2020

Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data,...

Persistent link: https://www.econbiz.de/10012586923

Bayesian econometrics

Bernardi, Mauro; Grassi, Stefano; Ravazzolo, Francesco - In: Journal of risk and financial management : JRFM 13 (2020) 11/257, pp. 1-2

, forecasting, assessment of policy effectiveness in macro, finance, marketing and monetary economics. …

Persistent link: https://www.econbiz.de/10012389851

COVID-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting

Kaufmann, Sylvia - In: Swiss journal of economics and statistics 156 (2020) 1/12, pp. 1-12

The number of short-time workers from January to April 2020 is used to now- and forecast quarterly GDP growth. We purge the monthly log level series from the systematic component to extract unexpected changes or shocks to log short-time workers. These monthly shocks are included in a univariate...

Persistent link: https://www.econbiz.de/10012392543

Automatic indexation of the pension age to life expectancy : when policy design matters

Ayuso, Mercedes; Holzmann, Robert; Holzmann, Robert; … - In: Risks : open access journal 9 (2021) 5, pp. 1-28

Increasing retirement ages in an automatic or scheduled way with increasing life expectancy at retirement is a popular pension policy response to continuous longevity improvements. The question addressed here is: to what extent is simply adopting this approach likely to fulfill the overall goals...

Persistent link: https://www.econbiz.de/10012597036

World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover

Benati, Luca - 2025

I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the Northerin emisphere until 2010, by exploiting (i) their long-run equilibrium relationship with climate change drivers (CCDs) and (ii) the relationship between world GDP and...

Persistent link: https://www.econbiz.de/10015329682

Forecasting with Bayesian vector autoregressive models : comparison of direct and iterated multistep methods

Sugita, Katsuhiro - In: Asian journal of economics and banking : AJEB 6 (2022) 2, pp. 142-154

Purpose - The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector … are conducted to compare forecasting performances. An empirical study using US macroeconomic data are shown as an … with longer lag model and with longer forecast horizons. Implementing SSVS prior generally improves forecasting performance …

Persistent link: https://www.econbiz.de/10013352634

Structural compressed panel VAR with stochastic volatility : a robust Bayesian model averaging procedure

Pacifico, Antonio - In: Econometrics : open access journal 10 (2022) 3, pp. 1-24

forecasting accuracy. …

Persistent link: https://www.econbiz.de/10013459503