We propose a dynamic bank theory with a delayed loss recognition mechanism and a regulatory capital constraint at its …

models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF-TVP-SV-VAR … expert forecasts and show that the MF-TVP-SV-VAR delivers better inflation nowcasts in this regard. Using an optimal …

We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on …

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its … examine alternative oil market VAR models. We help the reader understand why the latter models sometimes generated … supply shocks that have been used as external or internal instruments for VAR models …

Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and … output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …