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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 …
Persistent link: https://www.econbiz.de/10015084442
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Impulse response estimation via flexible local projections
Mumtaz, Haroon; Piffer, Michele - 2022
This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...
Persistent link: https://www.econbiz.de/10013179339
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury … corporate bond-yield spread decreases the risk free rate. Finally, we note that while allowing for heavy tails receives a fair …
Persistent link: https://www.econbiz.de/10014490330
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
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Changing impact of shocks : a time-varying proxy SVAR approach
Mumtaz, Haroon; Petrova, Katerina - 2018
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling …
Persistent link: https://www.econbiz.de/10011933414
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …
Persistent link: https://www.econbiz.de/10010339759
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Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011372798
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Bayesian structural VAR models : a new approach for prior beliefs on impulse responses
Bruns, Martin; Pfiffer, Michele - 2018
sign restrictions with information on the volatility of the data, giving less prior mass to impulse effects that are …
Persistent link: https://www.econbiz.de/10011954423
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using …
Persistent link: https://www.econbiz.de/10012818429
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Partially identified heteroskedastic SVARs
Bacchiocchi, Emanuele; Bastianin, Andrea; Kitagawa, Toru; … - 2024
This paper presents new results on the identification of heteroskedastic structural vector autoregressive (HSVAR) models. Point identification of HSVAR models fails when some shifts in the variances of the structural shocks are suspected to be statistically indistinguishable from each other....
Persistent link: https://www.econbiz.de/10014556642