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Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3

Warne, Anders - 2021

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10013317369

Gauging the effects of fiscal stimulus packages in the euro area

Coenen, Günter; Straub, Roland; Trabandt, Mathias - 2012

We seek to quantify the impact on euro area GDP of the European Economic Recovery Plan (EERP) enacted in response to the financial crisis of 2008-09. To do so, we estimate an extended version of the ECB’s New Area-Wide Model with a richly specified fiscal sector. The estimation results point...

Persistent link: https://www.econbiz.de/10011605528

Forecasting with DSGE models

Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10011605231

Money growth and inflation: a regime switching approach

Amisano, Gianni; Fagan, Gabriel - 2010

We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and Canada for data from the 1960s up to the present. Our...

Persistent link: https://www.econbiz.de/10011605253

Cross-Country Cross-Technology Digitalisation : A Bayesian Hierarchical Model Perspective

Hoffreumon, Charles; Labhard, Vincent - 2022

In this article, we present a new perspective on forecasting technology adoption, focused on the extensive margin of adoption of multiple digital technologies in multiple countries. We do this by applying a Bayesian hierarchical structure to the seminal model of technology diffusion. After...

Persistent link: https://www.econbiz.de/10014078975

Credit Market Disequilibrium in Greece (2003-2011) - A Bayesian Approach

Vouldis, Angelos T. - 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/10013020634

On Approximating DSGE Models by Series Expansions

Lombardo, Giovanni - 2010

We show how to use a simple perturbation method to solve non-linear rational expectation models. Drawing from the applied mathematics literature we propose a method consisting of series expansions of the non-linear system around a known solution. The variables are represented in terms of their...

Persistent link: https://www.econbiz.de/10013136525

Money Growth and Inflation : A Regime Switching Approach

Amisano, Gianni - 2010

Persistent link: https://www.econbiz.de/10013142985

Involuntary Unemployment and the Business Cycle

Christiano, Lawrence J. - 2010

We propose a monetary model in which the unemployed satisfy the official US definition of unemployment: they are people without jobs who are (i) currently making concrete efforts to find work and (ii) willing and able to work. In addition, our model has the property that people searching for...

Persistent link: https://www.econbiz.de/10013143337

Analysis of Variance for Bayesian Inference

Geweke, John - 2011

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...

Persistent link: https://www.econbiz.de/10013117720