This paper extends Svensson (1994) ?simplest test?of in?ation target credibility inside a Bayesian econometric framework. We apply this approach to the initial years of the Eurosystem and obtain various estimates of ECB?s monetary policy credibility. Overall, our empirical evidence is robust to...

This work deals with multivariate stochastic volatility models that account for time-varying stochastic correlation between the observable variables. We focus on the bivariate models. A contribution of the work is to introduce Beta and Gamma autoregressive processes for modelling the correlation...

We propose a test for comparing the out-of-sample accuracy of competing density forecasts of a variable. The test is valid under general conditions: the data can be heterogeneous and the forecasts can be based on (nested or non-nested) parametric models or produced by semi- parametric,...

Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

In this paper we analyze entry dynamics in new submarkets of pharma- ceutical companies in the period 1987-1998 in seven countries considered as a single country and on each country separately. In particular we study entry decisions at time t in a new submarket, conditioned on the entrance or...

Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new model for time series. This model is a generalization of the Markov normal mixture model in which the mixture components...

Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...

Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...

We construct and estimate the term structure implications of a small DSGE model with nominal rigidities in which the laws of motion of the structural shocks are subject to stochastic regime shifts. We demonstrate that, to a second order approximation, switching regimes generate time-varying risk...