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Citations for "Bayesian Methods for Dynamic Multivariate Models"

by Sims, Christopher A & Zha, Tao

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  1. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 0692, European Central Bank.
  2. Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.
  3. Miao, Jianjun & Wang, Pengfei & Zha, Tao, 2014. "Liquidity Premia, Price-Rent Dynamics, and Business Cycles," Working Paper 2014-15, Federal Reserve Bank of Atlanta.
  4. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
  5. Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012. "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers ECO2012/08, European University Institute.
  6. Inske Pirschel & Maik Wolters, 2014. "Forecasting German Key Macroeconomic Variables Using Large Dataset Methods," Kiel Working Papers 1925, Kiel Institute for the World Economy.
  7. Roush, Jennifer E., 2007. "The expectations theory works for monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1631-1643, September.
  8. Andrea Carriero & Todd Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Paper 1112, Federal Reserve Bank of Cleveland.
  9. Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
  10. A. Carriero & G. Kapetanios & M. Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Economics Working Papers ECO2010/17, European University Institute.
  11. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers 965, Society for Economic Dynamics.
  12. Elton Beqiraj & Massimiliano Tancioni, . "Evaluating Labor Market Targeted Fiscal Policies in High Unemployment EZ Countries," Working Papers 165, University of Rome La Sapienza, Department of Public Economics.
  13. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
  14. Michel Juillard & Michael Kumhof & Ondra Kamenik, 2005. "Optimal price setting and inflation inertia in a rational expectations model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  15. Munehisa Kasuya & Tomoki Tanemura, 2000. "Small Scale Bayesian VAR Modeling of the Japanese Macro Economy Using the Posterior Information Criterion and Monte Carlo Experiments," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  16. Del Negro, Marco & Obiols-Homs, Francesc, 2001. "Has Monetary Policy Been so Bad that It Is Better to Get Rid of It? The Case of Mexico," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(2), pages 404-33, May.
  17. Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Working Papers 450, Research Seminar in International Economics, University of Michigan.
  18. Francesco Bianchi, 2010. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," Working Papers 10-40, Duke University, Department of Economics.
  19. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta.
  20. Christian Julliard, 2003. "The international diversification puzzle is not worse than you think," International Finance 0301004, EconWPA.
  21. Paul Crompton & Yanrui Wu, 2004. "Energy Consumption in China: Past Trends and Future Directions," Economics Discussion / Working Papers 04-22, The University of Western Australia, Department of Economics.
  22. Jarociński, Marek & Marcet, Albert, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  23. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  24. Afanasyeva, Elena, 2012. "Atypical Behavior of Money and Credit: Evidence From Conditional Forecasts," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65405, Verein für Socialpolitik / German Economic Association.
  25. Barbara Rossi & Tatevik Sehkposyan, 2013. "Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set," Working Papers 689, Barcelona Graduate School of Economics.
  26. Fabio Canova & Fernando J. P�rez Forero, 2012. "Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs," Working Papers 637, Barcelona Graduate School of Economics.
  27. Carolyn Njenga & Michael Sherris, 2011. "Modeling Mortality with a Bayesian Vector Autoregression," Working Papers 201105, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  28. Zhiwei Xu & Pengfei Wang & Jianjun Miao, 2013. "A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles," 2013 Meeting Papers 167, Society for Economic Dynamics.
  29. Marek Rusnák & Tomáš Havránek & Roman Horváth, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers IES 2011/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
  30. Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
  31. Voss, G.M. & Willard, L.B., 2009. "Monetary policy and the exchange rate: Evidence from a two-country model," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 708-720, December.
  32. Héctor M. Zárate Solano & Norberto Rodríguez Niño & Margarita Marín Jaramillo, 2012. "El tamaño de las empresas y la transmisión de la política monetaria en Colombia: una aplicación con la encuesta mensual de expectativas económicas," BORRADORES DE ECONOMIA 009823, BANCO DE LA REPÚBLICA.
  33. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," Working Papers IES 2012/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2012.
  34. Almuth Scholl & Harald Uhlig, 2005. "New Evidence on the Puzzles. Results from Agnostic Identification on Monetary Policy and Exchange Rates," SFB 649 Discussion Papers SFB649DP2005-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  35. Andrew Mountford & Harald Uhlig, 2008. "What are the Effects of Fiscal Policy Shocks?," NBER Working Papers 14551, National Bureau of Economic Research, Inc.
  36. Eric Leeper & Tao Zha, 2002. "Empirical analysis of policy interventions," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  37. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
  38. David Mortimer Krainz, 2011. "An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA," WIFO Working Papers 399, WIFO.
  39. Robertson, John C & Tallman, Ellis W & Whiteman, Charles H, 2005. "Forecasting Using Relative Entropy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 383-401, June.
  40. Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
  41. Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009. "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series 1110, European Central Bank.
  42. Kaabia, Olfa & Abid, Ilyes & Guesmi, Khaled, 2013. "Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?," Economic Modelling, Elsevier, vol. 31(C), pages 423-432.
  43. Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
  44. Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
  45. Robertson, John C & Tallman, Ellis W, 2001. "Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 324-30, July.
  46. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
  47. Bartosz Mackowiak, 2005. "How much of the Macroeconomic Variation in Eastern Europe is Attributable to External Shocks?," SFB 649 Discussion Papers SFB649DP2005-061, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  48. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
  49. Josifidis, Kosta & Allegret, Jean-Pierre & Gimet, Céline & Pucar, Emilija Beker, 2014. "Macroeconomic policy responses to financial crises in emerging European economies," Economic Modelling, Elsevier, vol. 36(C), pages 577-591.
  50. A. Carriero & G. Kapetanios & M. Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Economics Working Papers ECO2008/33, European University Institute.
  51. Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2010. "A flexible finite-horizon alternative to long-run restrictions with an application to technology shock," Working Papers 2005-024, Federal Reserve Bank of St. Louis.
  52. Villani, Mattias & Warne, Anders, 2003. "Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs," Working Paper Series 156, Sveriges Riksbank (Central Bank of Sweden).
  53. Altavilla, Carlo & Ciccarelli, Matteo, 2007. "Inflation Forecasts, monetary policy and unemployment dynamics: evidence from the US and the euro area," Working Paper Series 0725, European Central Bank.
  54. Marek Jarocinski, 2010. "Responses to monetary policy shocks in the east and the west of Europe: a comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 833-868.
  55. Haroon Mumtaz & Nitin Kumar, 2012. "An application of data-rich environment for policy analysis of the Indian economy," Joint Research Papers 2, Centre for Central Banking Studies, Bank of England.
  56. Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society.
  57. Christiane Baumeister & James D. Hamilton, 2014. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," NBER Working Papers 20741, National Bureau of Economic Research, Inc.
  58. pengfei Wang & Tao Zha & Zheng Liu, 2012. "Land-Price Dynamics and Macroeconomic Fluctuations," 2012 Meeting Papers 85, Society for Economic Dynamics.
  59. Marek Jarocinski & Albert Marcet, 2013. "Priors about Observables in Vector Autoregressions," UFAE and IAE Working Papers 929.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  60. Kociecki, Andrzej, 2012. "Orbital Priors for Time-Series Models," MPRA Paper 42804, University Library of Munich, Germany.
  61. Auer, Simone, 2014. "Monetary policy shocks and foreign investment income: evidence from a large Bayesian VAR," Globalization and Monetary Policy Institute Working Paper 170, Federal Reserve Bank of Dallas.
  62. Sun, Dongchu & Ni, Shawn, 2014. "A Bayesian analysis of normalized VAR models," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 247-259.
  63. Fabio Canova & Matteo Ciccarelli, 2000. "Forecasting And Turning Point Predictions In A Bayesian Panel Var Model," Working Papers. Serie AD 2000-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  64. António Afonso & António Jorge Silva, 2014. "The Monetary Transmission Mechanism in the Euro Area: has it changed with the EMU? A VAR approach, with fiscal policy and financial stress considerations," Working Papers Department of Economics 2014/10, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  65. Fabian Fink & Yves S. Schüler, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Working Paper Series of the Department of Economics, University of Konstanz 2013-01, Department of Economics, University of Konstanz.
  66. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
  67. James M. Nason & Ellis W. Tallman, 2012. "Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks," CAMA Working Papers 2012-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  68. S. Boragan Aruoba & Frank Schorfheide, 2009. "Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs," NBER Working Papers 14870, National Bureau of Economic Research, Inc.
  69. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
  70. Madeline Zavodny & Tao Zha, 2000. "Monetary policy and racial unemployment rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 1-16.
  71. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).
  72. repec:dgr:kubcen:200231 is not listed on IDEAS
  73. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," Working Paper 2014-21, Federal Reserve Bank of Atlanta.
  74. James L. Butkiewicz & Mihaela Solcan, 2012. "The Original Operation Twist: The War Finance Corporation's War Bond Purchase, 1918-1920," Working Papers 12-13, University of Delaware, Department of Economics.
  75. Uhlig, Harald, 2001. "Did the Fed surprise the markets in 2001? A case study for VARs with sign restrictions," SFB 373 Discussion Papers 2001,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  76. repec:dgr:uvatin:20140085 is not listed on IDEAS
  77. Jonathan Benchimol & André Fourçans, 2012. "The role of money and monetary policy in crisis periods: the Euro area case," Post-Print hal-00672806, HAL.
  78. Juillard, Michel & Karam, Philippe & Laxton, Douglas & Pesenti, Paolo, 2006. "Welfare-based monetary policy rules in an estimated DSGE model of the US economy," Working Paper Series 0613, European Central Bank.
  79. Liu, Zheng & Miao, Jianjun & Zha, Tao, 2013. "Land prices and unemployment," Working Paper 2013-06, Federal Reserve Bank of Atlanta.
  80. Marco Ratto & Werner Roeger & Jan in't Veld, 2007. "Fiscal policy in an estimated open-economy model for the Euro area," European Economy - Economic Papers 266, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  81. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
  82. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
  83. Zheng Liu & Pengfei Wang & Tao Zha, 2009. "Do credit constraints amplify macroeconomic fluctuations?," Working Paper Series 2009-28, Federal Reserve Bank of San Francisco.
  84. Brent Meyer & Saeed Zaman, 2013. "It’s not just for inflation: The usefulness of the median CPI in BVAR forecasting," Working Paper 1303, Federal Reserve Bank of Cleveland.
  85. Emil Stavrev & Thomas Harjes & Martin Cihák, 2009. "Euro Area Monetary Policy in Uncharted Waters," IMF Working Papers 09/185, International Monetary Fund.
  86. Canova, Fabio, 2003. "The Transmission of US Shocks to Latin America," CEPR Discussion Papers 3963, C.E.P.R. Discussion Papers.
  87. Aastveit, Knut Are & Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2014. "Have Standard VARs Remained Stable since the Crisis?," Working Paper 1411, Federal Reserve Bank of Cleveland.
  88. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.
  89. Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
  90. Eric M. Leeper & Tao Zha, 1999. "Modest policy interventions," Working Paper 99-22, Federal Reserve Bank of Atlanta.
  91. Francis, Brian M. & Moseley, Leo & Iyare, Sunday Osaretin, 2007. "Energy consumption and projected growth in selected Caribbean countries," Energy Economics, Elsevier, vol. 29(6), pages 1224-1232, November.
  92. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
  93. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
  94. Christopher A. Sims & Tao Zha, 2006. "Were There Regime Switches in U.S. Monetary Policy?," American Economic Review, American Economic Association, vol. 96(1), pages 54-81, March.
  95. Angeliki ANAGNOSTOU & Stephanos PAPADAMOU, 2014. "The Impact Of Monetary Shocks On Regional Output: Evidence From Four South Eurozone Countries," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 39, pages 105-130.
  96. Nilss Olekalns & Kalvinder Shields, 2008. "Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available," Department of Economics - Working Papers Series 1040, The University of Melbourne.
  97. Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
  98. Azar, Jose, 2009. "Electric Cars and Oil Prices," MPRA Paper 15538, University Library of Munich, Germany.
  99. repec:onb:oenbwp:y::i:124:b:1 is not listed on IDEAS
  100. Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
  101. Munehisa Kasuya, 2003. "Regime-Switching Approach to Monetary Policy Effects: Empirical Studies using a Smooth Transition Vector Autoregressive Model," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  102. Moen, Jon R. & Tallman, Ellis W., 2000. "Clearinghouse Membership and Deposit Contraction during the Panic of 1907," The Journal of Economic History, Cambridge University Press, vol. 60(01), pages 145-163, March.
  103. Francis Neville & Owyang Michael T. & Sekhposyan Tatevik, 2012. "The Local Effects of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(2), pages 1-38, March.
  104. Mackowiak, Bartosz, 2007. "External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2512-2520, November.
  105. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
  106. Marek Jarociński & Albert Marcet, 2014. "Contrasting Bayesian and Frequentist Approaches to Autoregressions: the Role of the Initial Condition," Working Papers 776, Barcelona Graduate School of Economics.
  107. John Faust & Charles H. Whiteman, 1997. "General-to-specific procedures for fitting a data-admissible, theory- inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and crit," International Finance Discussion Papers 576, Board of Governors of the Federal Reserve System (U.S.).
  108. Eric M. Leeper & Tao Zha, 2001. "Assessing simple policy rules: a view from a complete macroeconomic model," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 83-112.
  109. Thomas Sargent & Noah Williams & Tao Zha, 2004. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," NBER Working Papers 10764, National Bureau of Economic Research, Inc.
  110. Pytlarczyk, Ernest, 2005. "An estimated DSGE model for the German economy within the euro area," Discussion Paper Series 1: Economic Studies 2005,33, Deutsche Bundesbank, Research Centre.
  111. Dario Bonciani & Björn van Roye, 2013. "Uncertainty shocks, banking frictions, and economic activity," Kiel Working Papers 1843, Kiel Institute for the World Economy.
  112. Harald Uhlig & Pooyan Amir Ahmadi, 2012. "Measuring The Dynamic Effects Of Monetary Policy Shocks: A Bayesian Favar Approach With Sign Restriction," 2012 Meeting Papers 1060, Society for Economic Dynamics.
  113. Benoît Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
  114. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  115. Andrew P Blake & Haroon Mumtaz, 2012. "Applied Bayesian econometrics for central bankers," Technical Books, Centre for Central Banking Studies, Bank of England, edition 1, number 4, March.
  116. Jesús Fernández-Villaverde & Juan F. Rubio, 2003. "Comparing Dynamic Equilibrium Economies to Data," Levine's Working Paper Archive 506439000000000309, David K. Levine.
  117. Thomai Filippeli, 2011. "Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation," 2011 Meeting Papers 396, Society for Economic Dynamics.
  118. Chiara Scotti, 2006. "A bivariate model of Fed and ECB main policy rates," International Finance Discussion Papers 875, Board of Governors of the Federal Reserve System (U.S.).
  119. Brandt, Patrick T. & Freeman, John R. & Schrodt, Philip A., 2014. "Evaluating forecasts of political conflict dynamics," International Journal of Forecasting, Elsevier, vol. 30(4), pages 944-962.
  120. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," CEPR Discussion Papers 7796, C.E.P.R. Discussion Papers.
  121. Philip Liu & Rafael Romeu & Troy Matheson, 2011. "Real-Time Forecasts of Economic Activity for Latin American Economies," IMF Working Papers 11/98, International Monetary Fund.
  122. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  123. Andrea Carriero, 2007. "Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models," Working Papers 612, Queen Mary University of London, School of Economics and Finance.
  124. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers.
  125. Matteo Ciccarelli & Alessandro Rebucci, 2003. "Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System," IMF Working Papers 03/102, International Monetary Fund.
  126. repec:dgr:kubcen:200188 is not listed on IDEAS
  127. Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 307-326.
  128. Bartosz Mackowiak, 2005. "What does the Bank of Japan do to East Asia?," SFB 649 Discussion Papers SFB649DP2005-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  129. Christopher A. Sims, 2005. "Commentary on "trends in hours, balanced growth, and the role of technology in the business cycle"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 487-492.
  130. Clark, Todd E. & McCracken, Michael W., 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Paper 1413, Federal Reserve Bank of Cleveland.
  131. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  132. Hamid Reza Davoodi & S. V. S. Dixit & Gabor Pinter, 2013. "Monetary Transmission Mechanism in the East African Community; An Empirical Investigation," IMF Working Papers 13/39, International Monetary Fund.
  133. Espinosa Acuña, Óscar A. & Vaca González, Paola A. & Avila Forero, Raúl A., 2013. "Elasticidades de demanda por electricidad e impactos macroecon_omicos del precio de la energía eléctrica en Colombia || Elasticity of Electricity Demand and Macroeconomics Impacts of Electricity Price," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 216-249, December.
  134. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  135. Camille Cornand & Pauline Gandré & Céline Gimet, 2014. "Increase in Home Bias and the Eurozone Sovereign Debt Crisis," Working Papers 1419, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  136. Bekiros, Stelios, 2014. "Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area," Economic Modelling, Elsevier, vol. 38(C), pages 619-626.
  137. Sarantis, Nicholas, 2006. "On the short-term predictability of exchange rates: A BVAR time-varying parameters approach," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2257-2279, August.
  138. Jennifer E. Roush, 2001. "Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory," International Finance Discussion Papers 712, Board of Governors of the Federal Reserve System (U.S.).
  139. Zheng Liu & Sylvain Leduc, 2013. "Uncertainty Shocks Are Aggregate Demand Shocks," 2013 Meeting Papers 270, Society for Economic Dynamics.
  140. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
  141. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality," SFB 649 Discussion Papers SFB649DP2008-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  142. Castillo, Paul & Perez, Fernando & Tuesta, Vicente, 2010. "Los Mecanismos de Transmisión de la Política Monetaria en Perú," Working Papers 2010-013, Banco Central de Reserva del Perú.
  143. Thomai Filippeli & Konstantinos Theodoridis, 2014. "DSGE Priors for BVAR Models," Working Papers 713, Queen Mary University of London, School of Economics and Finance.
  144. Rangan Gupta, 2012. "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers 201214, University of Pretoria, Department of Economics.
  145. Joris de Wind, 2014. "Time variation in the dynamic effects of unanticipated changes in tax policy," CPB Discussion Paper 271, CPB Netherlands Bureau for Economic Policy Analysis.
  146. Schüler, Yves S. & Fink, Fabian, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79692, Verein für Socialpolitik / German Economic Association.
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