This paper shows how to estimate a Bayesian VAR with drifting parameters and nonlinear cross-equation restrictions. The restrictions promote parsimony by reducing the dimension of the drifting component in conditional mean parameters. As an application, the paper investigates an...

For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are pertinent for designing and evaluating monetary policy. These include easures of inflation persistence, the natural rate of unemployment, a core rate of inflation, and...

Previous studies have interpreted the rise and fall of US inflation after World War II in terms of the Fed's changing views about the natural rate hypothesis but have left an important question unanswered. Why was the Fed so slow to implement the low-inflation policy recommended by a natural...