Forecasting with shadow rate VARs

DOI10.3982/QE2547MaRDI QIDQ6922367zbMATH OpenFDO

Authors Andrea Carriero, Todd E. Clark, Massimiliano Marcellino, Elmar Mertens

Publication date 1 October 2025

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/QE2547

zbMATH Keywords

censored observationseffective lower boundmacroeconomic forecastingterm structure

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A bayesian approach to dynamic tobit models
• A shadow rate New Keynesian model
• Analysis of multivariate probit models
• Bayes inference in the Tobit censored regression model
• Censored time series analysis with autoregressive moving average models
• Constrained interest rates and changing dynamics at the zero lower bound
• Corrigendum to ``Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Dynamic Factor Models
• Forecasting with shadow rate VARs
• FRED-MD: A Monthly Database for Macroeconomic Research
• High-dimensional conditionally Gaussian state space models with missing data
• Identification at the zero lower bound
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Precision-based sampling for state space models that have no measurement error
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• SVARs with occasionally-binding constraints
• Time series analysis by state space methods.

Cited in

(1)

• Forecasting with shadow rate VARs

This page was built for publication: Forecasting with shadow rate VARs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6922367)