International Monetary Fund

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 ...
JSTOR Daily

Spillovers from US monetary policy: evidence from a time varying parameter global vector auto-regressive model

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 ...
Seeking Alpha

China And A Reduced Form Bayesian VAR

What the heck does the forbidding phrase "reduced form Bayesian VAR" mean? Let's break this down. The VAR in question isn't VaR (Value at Risk). It's Vector Autoregression. This is a stochastic ...
Risk

Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model

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 ...