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BVARs: A Survey of the Recent Literature with an Application to the European Monetary System

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  • Matteo Ciccarelli

    ()
    (Universidad de Alicante)

  • Alessandro Rebucci

    ()
    (International Monetary FundWashington D.C.)

Abstract

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the general principle of Bayesian estimation applied to a VAR, we first present the methodology originally developed by Litterman (1986) and Doan et Al. (1984) and review alternative prior distributions. We then present several extensions of the basic model and discuss some issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how results previously presented may be applied in practice.

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Bibliographic Info

Article provided by SIPI Spa in its journal Rivista di Politica Economica.

Volume (Year): 93 (2003)
Issue (Month): 5 (September-October)
Pages: 47-112

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Handle: RePEc:rpo:ripoec:v:93:y:2003:i:5:p:47-112

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Cited by:
  1. Altavilla, Carlo & Ciccarelli, Matteo, 2010. "Evaluating the effect of monetary policy on unemployment with alternative inflation forecasts," Economic Modelling, Elsevier, vol. 27(1), pages 237-253, January.
  2. Matteo Ciccarelli & Carlo Altavilla, 2007. "Inflation Forecasts, Monetary Policy and Unemployment Dynamics: Evidence from the US and the Euro area," 2007 Meeting Papers 315, Society for Economic Dynamics.

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