there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR …

generalize Campbell's VAR implementation of Campbell and Shiller's present value decomposition to allow for parameter instability …

Recent research has shown that recursive real-time VAR forecasts of the real price of oil tend to be more accurate than … benefits of allowing for time variation in VAR model parameters and of constructing forecast combinations. We conclude that … quarterly forecasts of the real price of oil from suitably designed VAR models estimated on monthly data generate the most …

and what assumptions we have made in doing so. Furthermore, we perform a VAR analysis to provide some simple empirical …

Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricted VAR are … improve forecasts from an unrestricted VAR. In testing forecasting capacity they also have quite weak power, particularly on … improve on VAR forecasts. …

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …

loans decrease while C&I loans increase. We also show that in a standard log-linear VAR the impulse response function of an …