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Bayesian vector autoregressions

Author

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  • Miranda-Agrippino, Silvia

    () (Bank of England)

  • Ricco, Giovanni

    () (University of Warwick)

Abstract

This article reviews Bayesian inference methods for vector autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

Suggested Citation

  • Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
  • Handle: RePEc:boe:boeewp:0756
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    References listed on IDEAS

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    Cited by:

    1. Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.

    More about this item

    Keywords

    Monetary policy; local projections; VARs; expectations; information rigidity; survey forecasts; external instruments;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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