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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

  • Nakajima, Jouchi
  • Kasuya, Munehisa
  • Watanabe, Toshiaki

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals the time-varying structure of the Japanese economy and monetary policy during the period from 1981 to 2008. The marginal likelihoods of the TVP-VAR model and other fixed parameter VAR models are estimated for model comparison. The estimated marginal likelihoods indicate that the TVP-VAR model best fits the Japanese economic data.

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Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 25 (2011)
Issue (Month): 3 (September)
Pages: 225-245

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Handle: RePEc:eee:jjieco:v:25:y:2011:i:3:p:225-245
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622903

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