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Asymmetric Conjugate Priors for Large Bayesian VARs

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Cited by:

  1. Hauzenberger, Niko & Pfarrhofer, Michael & Rossini, Luca, 2025. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," International Journal of Forecasting, Elsevier, vol. 41(1), pages 361-376.
  2. Boeck, Maximilian & Zörner, Thomas O., 2025. "Natural gas prices, inflation expectations, and the pass-through to euro area inflation," Energy Economics, Elsevier, vol. 141(C).
  3. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021. "Bayesian Local Projections," The Warwick Economics Research Paper Series (TWERPS) 1348, University of Warwick, Department of Economics.
  4. Minsu Chang & Frank Schorfheide, 2024. "On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity," PIER Working Paper Archive 24-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  5. Joshua Chan & Christian Matthes & Xuewen Yu, 2025. "Large Structural VARs with Multiple Sign and Ranking Restrictions," Papers 2503.20668, arXiv.org.
  6. Florian Huber & Gary Koop, 2023. "Subspace shrinkage in conjugate Bayesian vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 556-576, June.
  7. Andrea Carriero & Davide Pettenuzzo & Shubhranshu Shekhar, 2024. "Macroeconomic Forecasting with Large Language Models," Papers 2407.00890, arXiv.org, revised Mar 2025.
  8. Chan, Joshua C.C. & Yu, Xuewen, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  9. Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024. "Decision Synthesis in Monetary Policy," Staff Working Papers 24-30, Bank of Canada.
  10. Chan, Joshua C.C. & Pettenuzzo, Davide & Poon, Aubrey & Zhu, Dan, 2025. "Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
  11. Chan, Joshua C.C., 2021. "Minnesota-type adaptive hierarchical priors for large Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1212-1226.
  12. Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Nowcasting distributions: a functional MIDAS model," Papers 2411.05629, arXiv.org.
  13. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
  14. Michael Pfarrhofer, 2024. "Forecasts with Bayesian vector autoregressions under real time conditions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 771-801, April.
  15. Ricco, Giovanni & Degasperi, Riccardo & Hong, Simon, 2020. "The Global Transmission of U.S. Monetary Policy," CEPR Discussion Papers 14533, C.E.P.R. Discussion Papers.
  16. Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers 23-09, Federal Reserve Bank of Cleveland.
  17. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
  18. Pérez Rojo, Flavio & Rodríguez, Gabriel, 2024. "Impact of monetary policy shocks in the Peruvian economy over time," Structural Change and Economic Dynamics, Elsevier, vol. 71(C), pages 270-288.
  19. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
  20. Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model," Papers 2411.05695, arXiv.org.
  21. Martin, Gael M. & Frazier, David T. & Maneesoonthorn, Worapree & Loaiza-Maya, Rubén & Huber, Florian & Koop, Gary & Maheu, John & Nibbering, Didier & Panagiotelis, Anastasios, 2024. "Bayesian forecasting in economics and finance: A modern review," International Journal of Forecasting, Elsevier, vol. 40(2), pages 811-839.
  22. Flavio Pérez Rojo & Gabriel Rodríguez, 2023. "Jane Haldimand Marcet: Impact of Monetary Policy Shocks in the Peruvian Economy Over Time," Documentos de Trabajo / Working Papers 2023-523, Departamento de Economía - Pontificia Universidad Católica del Perú.
  23. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
  24. Jonas E. Arias & Juan F. Rubio-Ram'irez & Minchul Shin, 2025. "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Papers 2505.23542, arXiv.org, revised May 2025.
  25. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025. "A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs," Working Papers 25-19, Federal Reserve Bank of Philadelphia.
  26. Martin Bruns & Michele Piffer, 2023. "A new posterior sampler for Bayesian structural vector autoregressive models," Quantitative Economics, Econometric Society, vol. 14(4), pages 1221-1250, November.
  27. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
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