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Variational inference for Bayesian panel VAR models

Ter Steege, Lucas (contributor) - European Central Bank - 2024

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Persistent link: https://www.econbiz.de/10015321114

Beware of large shocks! : a non-parametric structural inflation model

Bobeica, Elena (contributor); Holton, Sarah (contributor); … - European Central Bank - 2025

We propose a novel empirical structural inflation model that captures non-linear shock transmission using a Bayesian machine learning framework that combines VARs with non-linear structural factor models. Unlike traditional linear models, our approach allows for non-linear effects at all impulse...

Persistent link: https://www.econbiz.de/10015430540

Credit market disequilibrium in Greece (2003-2011) : a Bayesian approach

Vouldis, Angelos T. (contributor) - European Central Bank - 2015

Motivated by the linkage between credit and growth in the Greek economy, and the deceleration of credit since the financial crisis, this paper studies the evolution of credit demand and supply in Greece. A disequilibrium model of demand and supply is estimated spanning the period 2003M1-2011M3....

Persistent link: https://www.econbiz.de/10015298940

Market risk SREP methodology

European Central Bank - 2024

Persistent link: https://www.econbiz.de/10015322343

Market risk SREP methodology : market risk in SREP

European Central Bank - 2023

Persistent link: https://www.econbiz.de/10015278797

Market risk SREP methodology : market risk in SREP

European Central Bank - 2023

Persistent link: https://www.econbiz.de/10015280272

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano (contributor); … - European Central Bank - 2024

FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

Persistent link: https://www.econbiz.de/10015321745

European competitiveness : a semiparametric stochastic metafrontier analysis at the firm level; N°1701, July 2014

Verschelde, Marijn (contributor); Dumont, Michel (contributor) - European Central Bank - 2014

In this paper a semiparametric stochastic metafrontier approach is used to obtain insight into firm-level competitiveness in Europe. We differ from standard TFP studies at the firm level as we simultaneously allow for inefficiency, noise and do not impose a functional form on the input-output...

Persistent link: https://www.econbiz.de/10015301956

Granger causality and regime inference in Bayesian Markov-Switching VARs

Droumaguet, Matthieu (contributor); … - European Central Bank - 2015

We derive restrictions for Granger noncausality in Markov-switching vector autoregressive models and also show under which conditions a variable does not affect the forecast of the hidden Markov process. Based on Bayesian approach to evaluating the hypotheses, the computational tools for...

Persistent link: https://www.econbiz.de/10015298950

Sovereign credit ratings, market volatility, and financial gains : N°1654, March 2014

Afonso, António (contributor); Gomes, Pedro (contributor); … - European Central Bank - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

Persistent link: https://www.econbiz.de/10015301794