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Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy

  • Jouchi Nakajima

    (Institute for Monetary and Economic Studies, Bank of Japan (E-mail:

  • Munehisa Kasuya

    (Research and Statistics Department, Bank of Japan (E-mail:

  • Toshiaki Watanabe

    (Professor, Institute of Economic Research, Hitotsubashi University, and Institute for Monetary and Economic Studies, Bank of Japan (E-mail:

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal 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 VAR models are also estimated. The estimated marginal likelihoods indicate that the TVP-VAR model best fits the Japanese economic data.

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Paper provided by Institute for Monetary and Economic Studies, Bank of Japan in its series IMES Discussion Paper Series with number 09-E-13.

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Date of creation: May 2009
Date of revision:
Handle: RePEc:ime:imedps:09-e-13
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