Time Varying Structural Vector Autoregressions and Monetary Policy
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(only showing first 100 items - show all)- 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
- Nonlinearities, smoothing and countercyclical monetary policy
- 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
- Monetary and fiscal policy switching with time-varying volatilities
- 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?
- bvarsv
- 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
- 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
- Large Bayesian VARMAs
- Modeling the evolution of expectations and uncertainty in general equilibrium
- Methods for inference in large multiple-equation Markov-switching models
- On the statistical identification of DSGE models
- Quasi-Bayesian estimation of time-varying volatility in DSGE models
- Changes in the effects of monetary policy on disaggregate price dynamics
- Bayesian estimation of time-varying parameters in dynamic state space models in the presence of discounted evolution variance
- scientific article; zbMATH DE number 5635126 (Why is no real title available?)
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