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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

Modelling Ireland's Exchange Rates : From EMS to EMU

Bond, Derek - 2007

, are discussed and applied. The results obtained highlight the likely inadequacies of the standard cointegration and Star …

Persistent link: https://www.econbiz.de/10012775859

A VAR Analysis for the Uncovered Interest Parity and the Ex-Ante Purchasing Power Parity : The Role of Macroeconomic and Financial Information

Macchiarelli, Corrado - 2011

This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity (EXPPP) and the real interest parity (RIP) using a VAR approach for the US dollar, the British sterling and the Japanese yen interest rates, exchange rates and changes in prices. The...

Persistent link: https://www.econbiz.de/10013118030

Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR

Bussière, Matthieu - 2011

This paper provides evidence on whether the creation of the euro has changed the way global turbulences affect euro area and other economies. Specifically, it considers the impact of global shocks on the competitiveness of individual euro area countries and assesses whether their responses to...

Persistent link: https://www.econbiz.de/10013130602

Regime-Switching Global Vector Autoregressive Models

Binder, Michael - 2013

The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...

Persistent link: https://www.econbiz.de/10013078535

VAR for VaR : Measuring Tail Dependence Using Multivariate Regression Quantiles

White, Jr., Halbert L. - 2015

This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles. The proposed framework can be conveniently...

Persistent link: https://www.econbiz.de/10013020592

Bayesian Analysis of Recursive SVAR Models with Overidentifying Restrictions

Kociecki, Andrzej - 2012

The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to elicit the prior on the non-zero...

Persistent link: https://www.econbiz.de/10013097952

Estimating GVAR Weight Matrices

Groß, Marco - 2013

This paper aims to illustrate how weight matrices that are needed to construct foreign variable vectors in Global Vector Autoregressive (GVAR) models can be estimated jointly with the GVAR's parameters. An application to real GDP and consumption expenditure price inflation as well as a...

Persistent link: https://www.econbiz.de/10013086134

Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables

Chudik, Alexander; Georgiadis, Georgios - 2021

This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...

Persistent link: https://www.econbiz.de/10013315353

A Cointegration Model of Money and Wealth

Assenmacher, Katrin - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012844181