IDEAS home Printed from https://ideas.repec.org/r/een/camaaa/2019-51.html

Asymmetric Conjugate Priors for Large Bayesian VARs

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2025. "Bayesian Local Projections," The Review of Economics and Statistics, MIT Press, vol. 107(5), pages 1424-1438, September.
  2. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
  3. 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.
  4. 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.
  5. Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024. "Decision Synthesis in Monetary Policy," Staff Working Papers 24-30, Bank of Canada.
  6. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
  7. Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model," Papers 2411.05695, arXiv.org.
  8. Coulombe, Raphaelle G. & McNeil, James, 2025. "The term structure of interest rates in a noisy information model," Journal of International Money and Finance, Elsevier, vol. 159(C).
  9. Degasperi, Riccardo & Hong, Seokki Simon & Ricco, Giovanni, 2026. "The global transmission of U.S. monetary policy," Journal of International Economics, Elsevier, vol. 161(C).
  10. 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.
  11. Ping Wu & Dan Zhu, 2025. "U.S. Economy and Global Stock Markets: Insights from a Distributional Approach," Papers 2511.17140, arXiv.org, revised Nov 2025.
  12. 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).
  13. Anthoulla Phella & Vasco J. Gabriel & Luis F. Martins, 2025. "Taking the Highway or the Green Road? Conditional Temperature Forecasts Under Alternative SSP Scenarios," Papers 2509.09384, arXiv.org.
  14. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
  15. 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.
  16. Jan Pruser, 2024. "A large non-Gaussian structural VAR with application to Monetary Policy," Papers 2412.17598, arXiv.org.
  17. Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin, 2025. "Large SVARs," Working Papers 26-04, Federal Reserve Bank of Philadelphia.
  18. 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).
  19. Joshua C. C. Chan & Christian Matthes & Xuewen Yu, 2026. "Large structural VARs with multiple sign and ranking restrictions," Quantitative Economics, Econometric Society, vol. 17(3), pages 709-740, July.
  20. Andrea Carriero & Davide Pettenuzzo & Shubhranshu Shekhar, 2024. "Macroeconomic Forecasting with Large Language Models," Papers 2407.00890, arXiv.org, revised Aug 2026.
  21. 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.
  22. Maximilian Böck & Alina Steshkova & Thomas Zörner, 2024. "The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy (Maximilian Boeck, Alina Steshkova, Thomas O. Zörner)," Working Papers 258, Oesterreichische Nationalbank (Austrian Central Bank).
  23. 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.
  24. Minsu Chang & Frank Schorfheide, 2024. "On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity," NBER Working Papers 32166, National Bureau of Economic Research, Inc.
  25. McIntyre, Stuart & Koop, Gary & Mitchell, James & Poon, Aubrey & Wu, Ping, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Discussion Papers escoe-dp-2023-07, Economic Statistics Centre of Excellence.
  26. 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.
  27. 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.
  28. Jonas E. Arias & Juan F. Rubio-Ram'irez & Daniel Rudolf & Minchul Shin, 2025. "Large SVARs," Papers 2505.23542, arXiv.org, revised Apr 2026.
  29. Markku Lanne & Jani Luoto & Adam Rybarczyk, 2026. "Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs," Papers 2604.22445, arXiv.org, revised May 2026.
  30. 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.
  31. Wen Zhang, 2024. "The evolving international effects of China's government spending," The World Economy, Wiley Blackwell, vol. 47(5), pages 1851-1869, May.
  32. Roberto Casarin & Antonio Peruzzi & Davide Raggi, 2025. "Multiple Equilibria and the Phillips Curve: Do Agents Always Underreact?," Working Papers 2025: 10, Department of Economics, University of Venice "Ca' Foscari".
  33. 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.
  34. Kelly Trinh & Jamie L. Cross, 2026. "A Mixed Frequency BVAR for the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 102(337), pages 182-207, June.
  35. Gruber, Luis & Kastner, Gregor, 2025. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," International Journal of Forecasting, Elsevier, vol. 41(4), pages 1589-1619.
  36. 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).
  37. Massimiliano Marcellino & Andrea Renzetti & Tommaso Tornese, 2024. "Nowcasting distributions: a functional MIDAS model," Papers 2411.05629, arXiv.org.
  38. Gary Koop & Stuart McIntyre & James Mitchell & Ping Wu, 2026. "Incorporating Micro Data into Macro Models Using Pseudo VARs," Working Papers 26-04, Federal Reserve Bank of Cleveland.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.