This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...

This paper proposes a couple of new methods to compute the news impact curve for stochastic volatility (SV) models. The new methods incorporate the joint movement of return and volatility, which has been ignored by the extant literature. The first method employs the Bayesian Markov chain Monte...