Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan
A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated, together with the presence and effects of permanent shocks. Measures on manifolds are employed in order to elicit uniform priors on subspaces defined by particular structural features of linear VARs. Second, the VAR model is extended to include a smooth transition function in a (monetary) equation and stochastic volatility in the disturbances. The risk of a liquidity trap in the USA, UK and Japan is evaluated, together with the expected cost of a policy adjustment of central banks. Posterior probabilities of different models are evaluated usingMarkov chainMonte Carlo techniques.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by School of Economics, University of Queensland, Australia in its series MRG Discussion Paper Series with number
1407.
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)