Time Varying Structural Vector Autoregressions and Monetary Policy
From MaRDI portal
Publication:5692951
DOI10.1111/j.1467-937X.2005.00353.xzbMath1106.91047MaRDI QIDQ5692951
Publication date: 28 September 2005
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-937x.2005.00353.x
91B64: Macroeconomic theory (monetary models, models of taxation)
91B82: Statistical methods; economic indices and measures
Related Items
Achieving shrinkage in a time-varying parameter model framework, bvarsv, Large Bayesian VARMAs, Methods for inference in large multiple-equation Markov-switching models, On the statistical identification of DSGE models, Changes in the effects of monetary policy on disaggregate price dynamics, Monetary policy regimes and the term structure of interest rates, Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility, The role of model uncertainty and learning in the US postwar policy response to oil prices, Minimal state variable solutions to Markov-switching rational expectations models, Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations, Stochastic volatility with leverage: fast and efficient likelihood inference, Time varying VARs with inequality restrictions, A flexible approach to parametric inference in nonlinear and time varying time series models, Bayesian inference in a time varying cointegration model, Investigating time-variation in the marginal predictive power of the yield spread, Learning, monetary policy rules, and macroeconomic stability, Structural vector autoregressions with Markov switching, Methods for measuring expectations and uncertainty in Markov-switching models, Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system, Technology shocks and aggregate fluctuations in an estimated hybrid RBC model, Stochastic volatility and DSGE models, Wavelet based time-varying vector autoregressive modelling, Long memory with stochastic variance model: a recursive analysis for US inflation, Modelling breaks and clusters in the steady states of macroeconomic variables, Rare shocks vs. non-linearities: what drives extreme events in the economy? Some empirical evidence, Measurement errors and monetary policy: then and now, Testing for time variation in an unobserved components model for the U.S. economy, Assessing DSGE model nonlinearities, The evolution of U.S. monetary policy: 2000--2007, Keynesian economics without the Phillips curve, Learning about fiscal policy and the effects of policy uncertainty, On the stability of Calvo-style price-setting behavior, Debt regimes and the effectiveness of monetary policy, Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics, A topological view on the identification of structural vector autoregressions, Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility, A Bayesian nonparametric Markovian model for non-stationary time series, Bayesian nonparametric vector autoregressive models, Deciphering the causes for the post-1990 slow output recoveries, Measuring the natural rate of interest of China: a time varying perspective, Bayesian compressed vector autoregressions, Dynamic Bayesian predictive synthesis in time series forecasting, Bayesian emulation for multi-step optimization in decision problems, The effects of monetary policy on stock market bubbles at zero lower bound: revisiting the evidence, Comparing hybrid time-varying parameter VARs, Learning and time-varying macroeconomic volatility, Structural evolution of the postwar U.S. economy, A flexible mixed-frequency vector autoregression with a steady-state prior, Forecasting Swiss exports using Bayesian forecast reconciliation, Uncertainty shocks and inflation dynamics in the U.S., Boosting high dimensional predictive regressions with time varying parameters, Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages, Dynamic variable selection with spike-and-slab process priors, Estimation of time-varying autoregressive stochastic volatility models with stable innovations, Implicit government guarantees and the externality of portfolio diversification: a complex network approach, Modeling tail risks of inflation using unobserved component quantile regressions, Fast and accurate variational inference for large Bayesian VARs with stochastic volatility, Parsimony inducing priors for large scale state-space models, Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models, Optimal asset allocation with multivariate Bayesian dynamic linear models, Sequential Bayesian inference for vector autoregressions with stochastic volatility, Reducing the state space dimension in a large TVP-VAR, Production network structure and the impact of the monetary policy shocks: evidence from the OECD, Price dispersion in bitcoin exchanges, Monetary policy and US housing expansions: the case of time-varying supply elasticities, Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles, A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States, Time-varying instrumental variable estimation, Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty, Search frictions and evolving labour market dynamics, On fiscal and monetary policy-induced macroeconomic volatility dynamics, The horseshoe prior for time-varying parameter VARs and monetary policy, Proxy vector autoregressions in a data-rich environment, Adaptive expectations and commodity risk premiums, The heterogeneous impact of monetary policy on the US labor market, Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle, Structural changes in the US economy: is there a role for monetary policy?, On the evolution of the monetary policy transmission mechanism, The relation between the corporate bond-yield spread and the real economy: stable or time-varying?, Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions, Discussion of ``Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions, Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors, Adaptive hierarchical priors for high-dimensional vector autoregressions, A quasi-Bayesian local likelihood approach to time varying parameter VAR models, Variable selection in panel models with breaks, Maximum likelihood estimation of a TVP-VAR, A time-varying parameter structural model of the UK economy, Time-varying rational expectations models, Revisiting the Great Moderation : policy or luck?, Macroeconomic effects of inflationary shocks with durable and non-durable consumption, Methods for computing marginal data densities from the Gibbs output, Moving average stochastic volatility models with application to inflation forecast, Modeling US housing prices by spatial dynamic structural equation models, Large time-varying parameter VARs, Time-varying sparsity in dynamic regression models, Time-frequency regression, Scalable inference for a full multivariate stochastic volatility model, Regime-switching cointegration, Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks, Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions, FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*, Dynamic dependence networks: Financial time series forecasting and portfolio decisions, Predicting crypto‐currencies using sparse non‐Gaussian state space models, Unnamed Item, Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures, FORECASTING GLOBAL EQUITY INDICES USING LARGE BAYESIAN VARS, Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidence for Turkish Economy, DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY, Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation, Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting, Time-varying vector autoregressive models with stochastic volatility, The Time-Varying Beveridge Curve, Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models, A skew Gaussian decomposable graphical model, Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model, Bayesian semiparametric multivariate stochastic volatility with application, Specification tests for time-varying parameter models with stochastic volatility, Bayesian analysis of multivariate stochastic volatility with skew return distribution, Stochastic Model Specification Search for Time-Varying Parameter VARs, A state-space approach to time-varying reduced-rank regression, Precision-based sampling for state space models that have no measurement error, A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model, Vector autoregression models with skewness and heavy tails, The financial market effects of unwinding the Federal Reserve's balance sheet, Global robust Bayesian analysis in large models, Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models, Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models, Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms, High-dimensional conditionally Gaussian state space models with missing data, Common time variation of parameters in reduced-form macroeconomic models, Oil-price density forecasts of US GDP, Steady-state priors and Bayesian variable selection in VAR forecasting, VEC-MSF models in Bayesian analysis of short- and long-run relationships, Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models, Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule, Modeling time-variation over the business cycle (1960--2017): an international perspective, Fiscal policy uncertainty and US output, The role of uncertainty on agricultural futures markets momentum trading and volatility, An effcient exact Bayesian method for state space models with stochastic volatility, Macroeconomic uncertainty and forecasting macroeconomic aggregates, MODELING THE EVOLUTION OF EXPECTATIONS AND UNCERTAINTY IN GENERAL EQUILIBRIUM, Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models, Unnamed Item
