Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...
This paper develops a vector autoregression (VAR) for macroeconomic time series which are observed at mixed frequencies – quarterly and monthly. The mixed-frequency VAR is cast in state-space form and ...
Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 182, No. 3 (2019), pp. 831-861 (31 pages) The paper develops a global vector auto-regressive model with time varying ...
Our eLibrary offers over 25,000 IMF publications in multiple formats. We use a mean-adjusted Bayesian VAR model as an out-of-sample forecasting tool to test whether money growth Granger-causes ...
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...
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