This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a...

This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec-tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a...