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Citations for "Bayesian VARs with large panels"

by Domenico Giannone & Martha Banbura & Lucrezia Reichlin

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  1. Bermingham, Colin & D’Agostino, Antonello, 2011. "Understanding and forecasting aggregate and disaggregate price dynamics," Working Paper Series, European Central Bank 1365, European Central Bank.
  2. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," IMFS Working Paper Series 59, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  3. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers, University of Nevada, Las Vegas , Department of Economics 1210, University of Nevada, Las Vegas , Department of Economics.
  4. Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2010. "Monetary policy in exceptional times," Working Paper Series, European Central Bank 1253, European Central Bank.
  5. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," Working Papers, Czech National Bank, Research Department 2012/10, Czech National Bank, Research Department.
  6. Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," National Institute Economic Review, National Institute of Economic and Social Research, National Institute of Economic and Social Research, vol. 203(1), pages 109-115, January.
  7. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 20-29.
  8. Bańbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," Working Paper Series, European Central Bank 1275, European Central Bank.
  9. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  10. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010. "Business Cycles in the Euro Area," NBER Chapters, in: Europe and the Euro, pages 141-167 National Bureau of Economic Research, Inc.
  11. Campolieti, Michele & Gefang, Deborah & Koop, Gary, 2014. "A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 41(C), pages 257-275.
  12. Banbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9112, C.E.P.R. Discussion Papers.
  13. Koliai, Lyes & Avouyi-Dovi, Sanvi & Ano Sujithan, Kuhanathan, 2014. "On the determinants of food price volatility," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/12798, Paris Dauphine University.
  14. Marek Rusnák & Tomáš Havránek & Roman Horváth, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2011/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
  15. Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers, University of Nevada, Las Vegas , Department of Economics 1001, University of Nevada, Las Vegas , Department of Economics.
  16. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2012. "The ECB and the interbank market," Working Paper Series, European Central Bank 1496, European Central Bank.
  17. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7446, C.E.P.R. Discussion Papers.
  18. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working Papers 200913, University of Pretoria, Department of Economics.
  19. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series, European Central Bank 1494, European Central Bank.
  20. Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010. "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 315-323, January.
  21. A. Carriero & G. Kapetanios & M. Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Economics Working Papers, European University Institute ECO2008/33, European University Institute.
  22. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2009. "Business cycles in the euro area," Working Paper Series, European Central Bank 1010, European Central Bank.
  23. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2010. "A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(4), pages 720-754.
  24. Troy D. Matheson, 2013. "New indicators for tracking growth in real time," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2013(2), pages 51-71.
  25. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers, Rutgers University, Department of Economics 201131, Rutgers University, Department of Economics.
  26. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers 201132, University of Pretoria, Department of Economics.
  27. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," Working Paper, Federal Reserve Bank of Atlanta 2006-22, Federal Reserve Bank of Atlanta.
  28. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series, European Central Bank 1536, European Central Bank.
  29. Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2012-14, Scottish Institute for Research in Economics (SIRE).
  30. James H. Stock & Mark W. Watson, 2008. "Phillips Curve Inflation Forecasts," NBER Working Papers 14322, National Bureau of Economic Research, Inc.
  31. Rangan Gupta & Marius Jurgilas & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working Papers 201009, University of Pretoria, Department of Economics.
  32. Petre Caraiani, 2014. "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, Springer, vol. 46(2), pages 743-763, March.
  33. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 1-11.
  34. Miguel A. G. Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Paper Series, The Rimini Centre for Economic Analysis 35_11, The Rimini Centre for Economic Analysis.
  35. Deniz Igan & Alain N. Kabundi & Francisco Nadal-De Simone & Natalia T. Tamirisa, 2013. "Monetary Policy and Balance Sheets," IMF Working Papers 13/158, International Monetary Fund.
  36. Gary Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Working Papers, University of Strathclyde Business School, Department of Economics 1303, University of Strathclyde Business School, Department of Economics.
  37. Lucrezia Reichlin, 2009. "Comment on "How Has the Euro Changed the Monetary Transmission Mechanism?"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 127-139 National Bureau of Economic Research, Inc.
  38. Wolters, Maik H., 2011. "Forecasting under Model Uncertainty," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48723, Verein für Socialpolitik / German Economic Association.
  39. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  40. Elton Beqiraj & Massimiliano Tancioni, . "Evaluating Labor Market Targeted Fiscal Policies in High Unemployment EZ Countries," Working Papers, University of Rome La Sapienza, Department of Public Economics 165, University of Rome La Sapienza, Department of Public Economics.
  41. Auer, Simone, 2014. "Monetary policy shocks and foreign investment income: evidence from a large Bayesian VAR," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 170, Federal Reserve Bank of Dallas.
  42. Rangan Gupta & Monique Reid, 2012. "Macroeconomic Surprises and Stock Returns in South Africa," Working Papers 201212, University of Pretoria, Department of Economics.
  43. Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2013-604, Australian National University, College of Business and Economics, School of Economics.
  44. Dimitris Korobilis, 2013. "Var Forecasting Using Bayesian Variable Selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, 03.
  45. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 129-143.
  46. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers, Czech National Bank, Research Department 2013/06, Czech National Bank, Research Department.
  47. Piergiorgio Alessandri & Benjamin Nelson, 2014. "Simple banking: profitability and the yield curve," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 945, Bank of Italy, Economic Research and International Relations Area.
  48. Sá, F. & Wieladek, T., 2011. "Monetary Policy, Capital Inflows, and the Housing Boom," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1141, Faculty of Economics, University of Cambridge.
  49. Pinter, Gabor & Theodoridis, Konstantinos & Yates, Tony, 2013. "Risk news shocks and the business cycle," Bank of England working papers, Bank of England 483, Bank of England.
  50. Gary M. Koop, 2013. "Forecasting with Medium and Large Bayesian VARS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, 03.
  51. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, Springer, vol. 45(1), pages 635-664, August.
  52. Philip Liu & Konstantinos Theodoridis, 2012. "DSGE Model Restrictions for Structural VAR Identification," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 61-95, December.
  53. Mehmet Balcilar & Rangan Gupta & Zahra Shah, 2010. "An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa," Working Papers 201008, University of Pretoria, Department of Economics.
  54. Buera, Francisco & Monge-Naranjo, Alexander & Primiceri, Giorgio E., 2010. "Learning the Wealth of Nations," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8030, C.E.P.R. Discussion Papers.
  55. Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers, University of Strathclyde Business School, Department of Economics 1408, University of Strathclyde Business School, Department of Economics.
  56. Ellis W. Tallman & Saeed Zaman, 2012. "Where would the federal funds rate be, if it could be negative?," Economic Commentary, Federal Reserve Bank of Cleveland, Federal Reserve Bank of Cleveland, issue Oct.
  57. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
  58. Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca, 2014. "Short-term inflation projections: A Bayesian vector autoregressive approach," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 635-644.
  59. Neville Francis & Michael T. Owyang & Tatevik Sekhposyan, 2009. "The local effects of monetary policy," Working Papers, Federal Reserve Bank of St. Louis 2009-048, Federal Reserve Bank of St. Louis.
  60. Chai, Jian & Guo, Ju-E. & Meng, Lei & Wang, Shou-Yang, 2011. "Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model," Energy Policy, Elsevier, Elsevier, vol. 39(12), pages 8022-8036.
  61. Domenico Giannone & Michèle Lenza & Huw Pill & Lucrezia Reichlin, 2010. "Non‐Standard Monetary Policy Measures," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2010-040, ULB -- Universite Libre de Bruxelles.
  62. Haroon Mumtaz & Alexandra Solovyeva & Elena Vasilieva, 2012. "Asset prices, credit and the Russian economy," Joint Research Papers, Centre for Central Banking Studies, Bank of England 1, Centre for Central Banking Studies, Bank of England.
  63. Jarocinski, Marek & Mackowiak, Bartosz Adam, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9686, C.E.P.R. Discussion Papers.
  64. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers, University of Nevada, Las Vegas , Department of Economics 1106, University of Nevada, Las Vegas , Department of Economics.
  65. Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris West - Nanterre la Défense, EconomiX.
  66. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 122(564), pages F316-F347, November.
  67. Gonzalo Echavarría M. & Wildo González P, 2011. "Un Modelo de Factores Dinámicos de Pequeña Escala para el Imacec," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 14(2), pages 109-118, August.
  68. Glocker, Ch. & Towbin P., 2012. "The Macroeconomic Effects of Reserve Requirements," Working papers, Banque de France 374, Banque de France.
  69. Lance Kent, 2014. "Linkages, Transmission, and the Evolution of International Business Cycles," Working Papers, Department of Economics, College of William and Mary 149, Department of Economics, College of William and Mary.
  70. Schreiber, Sven, 2013. "Forecasting business-cycle turning points with (relatively large) linear systems in real time," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79709, Verein für Socialpolitik / German Economic Association.
  71. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  72. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2013. "Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9312, C.E.P.R. Discussion Papers.
  73. Kilian, Lutz & Lewis, Logan, 2009. "Does the Fed Respond to Oil Price Shocks?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7594, C.E.P.R. Discussion Papers.
  74. Lombardi, Marco J. & Osbat, Chiara & Schnatz, Bernd, 2010. "Global commodity cycles and linkages a FAVAR approach," Working Paper Series, European Central Bank 1170, European Central Bank.
  75. Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
  76. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers, Centre for Central Banking Studies, Bank of England 2, Centre for Central Banking Studies, Bank of England.
  77. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8604, C.E.P.R. Discussion Papers.
  78. Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, School of Economics and Management, University of Aarhus.
  79. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers, Bank of England 453, Bank of England.
  80. Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012. "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  81. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
  82. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(2), pages 203-216, March.
  83. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2012. "Common Drifting Volatility in Large Bayesian VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8894, C.E.P.R. Discussion Papers.
  84. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  85. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series, European Central Bank 1379, European Central Bank.
  86. Thomai Filippeli & Konstantinos Theodoridis, 2014. "DSGE Priors for BVAR Models," Working Papers, Queen Mary, University of London, School of Economics and Finance 713, Queen Mary, University of London, School of Economics and Finance.
  87. Alexander Chudik & Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1408, Faculty of Economics, University of Cambridge.
  88. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  89. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers, University of Milano-Bicocca, Department of Economics 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  90. Gunes Kamber & Konstantinos Theodoridis & Christoph Thoenissen, 2014. "News-driven business cycles in small open economies," CAMA Working Papers 2014-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  91. Birmingham, Colin & Conefrey, Thomas, 2011. "The Irish Macroeconomic Response to an External Shock with an Application to Stress Testing," Research Technical Papers 10/RT/11, Central Bank of Ireland.
  92. Theodoridis, Konstantinos & Zanetti, Francesco, 2014. "News and labour market dynamics in the data and in matching models," Bank of England working papers, Bank of England 488, Bank of England.
  93. Nalan Basturk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute.
  94. Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series, The Rimini Centre for Economic Analysis 47_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  95. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "Appendix for A New Look at Variation in Employment Growth in Canada: The Role of Industry, Provincial, National and External Factors," Working Papers 26145533, Lancaster University Management School, Economics Department.
  96. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  97. Ching Wai (Jeremy) Chiu & Bjørn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper, Federal Reserve Bank of Kansas City RWP 11-11, Federal Reserve Bank of Kansas City.
  98. Luigi Paciello, 2009. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," EIEF Working Papers Series 0917, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2011.
  99. Sarah Drought & Chris McDonald, 2011. "Forecasting house price inflation: a model combination approach," Reserve Bank of New Zealand Discussion Paper Series DP2011/07, Reserve Bank of New Zealand.
  100. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  101. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers, Queen Mary, University of London, School of Economics and Finance 715, Queen Mary, University of London, School of Economics and Finance.
  102. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
  103. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5111, Paris Dauphine University.
  104. Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
  105. Chris Bloor & Troy Matheson, 2008. "Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/09, Reserve Bank of New Zealand.
  106. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series, European Central Bank 1185, European Central Bank.
  107. Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers, Business School - Economics, University of Glasgow 2012_04, Business School - Economics, University of Glasgow.
  108. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8273, C.E.P.R. Discussion Papers.
  109. Carlo Altavilla & Domenico Giannone & Michele Lenza, 2014. "The Financial and Macroeconomic Effects of the OMT Announcements," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 352, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  110. Matkovskyy, Roman, 2012. "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
    ," MPRA Paper 44725, University Library of Munich, Germany, revised Nov 2012.
  111. Blagov, Boris & Funke , Michael, 2014. "The credibility of Hong Kong’s currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 15/2014, Bank of Finland, Institute for Economies in Transition.
  112. Brent Meyer & Saeed Zaman, 2013. "It’s not just for inflation: The usefulness of the median CPI in BVAR forecasting," Working Paper 1303, Federal Reserve Bank of Cleveland.
  113. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 24(C), pages 1-24.
  114. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2026-2047.
  115. International Monetary Fund, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 11/218, International Monetary Fund.
  116. Adina Popescu & Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary," IMF Working Papers 11/259, International Monetary Fund.
  117. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  118. Alexie Alupoaiei & Ana-Maria Sandica, 2013. "Assessing Structural Convergence between Romanian Economy and Euro Area: A Bayesian Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(3), pages 372-383, July.
  119. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  120. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 189, Oesterreichische Nationalbank (Austrian Central Bank).
  121. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  122. Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers, Brandeis University, Department of Economics and International Businesss School 57, Brandeis University, Department of Economics and International Businesss School.
  123. Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," CAMA Working Papers 2014-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  124. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7266, C.E.P.R. Discussion Papers.
  125. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  126. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
  127. Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series, European Central Bank 1492, European Central Bank.
  128. Schreiber, Sven, 2014. "Anticipating business-cycle turning points in real time using density forecasts from a VAR," Discussion Papers 2014/2, Free University Berlin, School of Business & Economics.
  129. Mthuli Ncube & Eliphas Ndou, 2013. "Working Paper 169 - Monetary Policy and Exchange Rate Shocks on South African Trade Balance," Working Paper Series, African Development Bank 448, African Development Bank.
  130. Matteo Luciani, 2014. "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2013/97308, ULB -- Universite Libre de Bruxelles.
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