Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application
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DOI: 10.21144/eq1010403
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References listed on IDEAS
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Citations
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Cited by:
- Jonathan Lecznar & Thomas A. Lubik, 2017. "Real Rates and Consumption Smoothing in a Low Interest Rate Environment: The Case of Japan," Working Paper 17-8, Federal Reserve Bank of Richmond, revised 18 May 2017.
- Auray, Stéphane & Eyquem, Aurélien, 2019.
"Episodes of war and peace in an estimated open economy model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 203-249.
- Stéphane Auray & Aurélien Eyquem, 2016. "Episodes of War and Peace in an Estimated Open Economy Model," Working Papers 2016-01, Center for Research in Economics and Statistics.
- Stéphane Auray & Aurélien Eyquem, 2017. "Episodes of War and Peace in an Estimated Open Economy Model," Working Papers halshs-01467219, HAL.
- Stéphane Auray & Aurélien Eyquem, 2019. "Episodes of war and peace in an estimated open economy model," Post-Print halshs-02193352, HAL.
- Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
- Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019.
"The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r,"
NBER Working Papers
26560, National Bureau of Economic Research, Inc.
- Davis, Josh & Fuenzalida, Cristian & Taylor, Alan M., 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," CEPR Discussion Papers 14201, C.E.P.R. Discussion Papers.
- Lombardi, Domenico & Siklos, Pierre L. & Xie, Xiangyou, 2018.
"Monetary policy transmission in systemically important economies and China’s impact,"
Journal of Asian Economics, Elsevier, vol. 59(C), pages 61-79.
- Domenico Lombardi & Pierre L. Siklos & Xiangyou Xie, 2018. "Monetary policy transmission in systemically important economies and China’s impact," CAMA Working Papers 2018-50, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Thomas A. Lubik & Christian Matthes & Andrew Owens, 2016. "Beveridge Curve Shifts and Time-Varying Parameter VARs," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 197-226.
- Hess Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego Vilan & Wei Zheng, 2019. "Monetary Policy Options at the Effective Lower Bound : Assessing the Federal Reserve's Current Policy Toolkit," Finance and Economics Discussion Series 2019-003, Board of Governors of the Federal Reserve System (U.S.).
- Krustev, Georgi & Casalis, André, 2020. "Cyclical drivers of euro area consumption: what can we learn from durable goods?," Working Paper Series 2386, European Central Bank.
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