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Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Forecasting inflation in Argentina

Garegnani, Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10011882797

What drives the European carbon market? : macroeconomic factors and forecasts

Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024

that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …

Persistent link: https://www.econbiz.de/10014470036

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea (contributor); … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is … at 1-step ahead. -- Exchange rates ; Forecasting ; Bayesian VAR …

Persistent link: https://www.econbiz.de/10003765975

IMF programs and sensitivity to external shocks : an empirical application

Miescu, Mirela Sorina - 2016

This paper assesses that participation of countries in IMF programs significantly diminishes their vulnerability to external shocks. Currently, one of the primary purposes of the IMF is to ensure global stability. As such, the Fund has the responsibility of advising member countries on the...

Persistent link: https://www.econbiz.de/10011447050

Modelling Okun's law - does non-Gaussianity matter?

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2022

In this paper, we analyse Okun's law - a relation between the change in the unemployment rate and GDP growth - using data from Australia, the euro area, the United Kingdom and the United States. More specifically, we assess the relevance of non-Gaussianity when modelling the relation. This is...

Persistent link: https://www.econbiz.de/10012799537

VAR models with fat tails and dynamic asymmetry

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of...

Persistent link: https://www.econbiz.de/10015084442

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...

Persistent link: https://www.econbiz.de/10010339759

Forecasting government bond yields with large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. -- Bayesian methods ; Forecasting ; Term structure …

Persistent link: https://www.econbiz.de/10003990415

A time varying DSGE model with financial frictions

Galvão, Ana Beatriz C.; Giraitis, Liudas; Kapetanios, … - 2015

We build a time varying DSGE model with financial frictions in order to evaluate changes in the responses of the macroeconomy to financial friction shocks. Using US data, we find that the transmission of the financial friction shock to economic variables, such as output growth, has not changed...

Persistent link: https://www.econbiz.de/10011405255