Showing 1 - 10 of 538
This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR …
Persistent link: https://www.econbiz.de/10012515464
We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour …
Persistent link: https://www.econbiz.de/10014374784
This paper studies how to combine real-time forecasts from a broad range of Bayesian vector autoregression (BVAR …
Persistent link: https://www.econbiz.de/10013229967
We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour …
Persistent link: https://www.econbiz.de/10014352662
This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...
Persistent link: https://www.econbiz.de/10011604858
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012422172
back end of the yield curve. We then feed these rate counterfactuals into a large-scale Bayesian VAR and generate …
Persistent link: https://www.econbiz.de/10012605260
This paper provides closed-form formulae for computing the asymptotic standard errors of the estimated autocovariance and autocorrelation functions for stable VAR models by means of the d-method. These standard errors can be used to construct asymptotic confidence bands for the estimated...
Persistent link: https://www.econbiz.de/10011604055
This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...
Persistent link: https://www.econbiz.de/10011604590
Spillovers between the US and euro area term structures of interest rates are examined. Implications for monetary policy are investigated using term-structure metrics that proxy conventional and unconventional instruments, i.e. the short rate, the 10 year term premium, and the 10 year risk-free...
Persistent link: https://www.econbiz.de/10012963922