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Citations for "Bayesian VARs with large panels"

by Domenico Giannone & Martha Banbura & Lucrezia Reichlin

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  1. Jansen, W. Jos & Jin, Xiaowen & de Winter, Jasper M., 2016. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 411-436.
  2. Boivin, Jean & Giannoni, Marc & Stevanovic, Dalibor, 2013. "Dynamic effects of credit shocks in a data-rich environment," Staff Reports 615, Federal Reserve Bank of New York, revised 01 Oct 2016.
  3. Luca Sala, 2015. "Dsge Models in the Frequency Domains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 219-240, 03.
  4. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  5. Mehmet Balcilar & Rangan Gupta & Zahra Shah, 2010. "An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa," Working Papers 201008, University of Pretoria, Department of Economics.
  6. Eric Eisenstat & Joshua C.C. Chan & Rodney Strachan, 2014. "Stochastic Model Specification Search for Time-Varying Parameter VARs," Working Paper Series 44_14, The Rimini Centre for Economic Analysis.
  7. Jos Jansen & Jasper de Winter, 2016. "Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries," DNB Working Papers 507, Netherlands Central Bank, Research Department.
  8. Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series 1492, European Central Bank.
  9. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2010. "Nowcasting," CEPR Discussion Papers 7883, C.E.P.R. Discussion Papers.
  10. Churm, Rohan & Joyce, Mike & Kapetanios, George & Theodoridis, Konstantinos, 2015. "Unconventional monetary policies and the macroeconomy: the impact of the United Kingdom's QE2 and Funding for Lending Scheme," Bank of England working papers 542, Bank of England.
  11. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Working Papers 634, Queen Mary University of London, School of Economics and Finance.
  12. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW).
  13. Zeyyad Mandalinci, 2015. "Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach," Working Papers 758, Queen Mary University of London, School of Economics and Finance.
  14. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
  15. Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
  16. Theodoridis, Konstantinos & Zanetti, Francesco, 2014. "News and labour market dynamics in the data and in matching models," Bank of England working papers 488, Bank of England.
  17. Elton Beqiraj & Massimiliano Tancioni, 2014. "Evaluating Labor Market Targeted Fiscal Policies in High Unemployment EZ Countries," Working Papers 165, University of Rome La Sapienza, Department of Public Economics.
  18. Altavilla, Carlo & Giannone, Domenico, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," CEPR Discussion Papers 10001, C.E.P.R. Discussion Papers.
  19. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 53.
  20. Dovern, Jonas & Feldkircher, Martin & Huber , Florian, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 0590, University of Heidelberg, Department of Economics.
  21. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 10 Mar 2016.
  22. Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2011. "Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-007/4, Tinbergen Institute.
  23. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
  24. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
  25. Aastveit, Knut Are & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2016. "Have Standard VARs Remained Stable Since the Crisis?," CEPR Discussion Papers 11558, C.E.P.R. Discussion Papers.
  26. Mehmet Balcilar & NICO KATZKE & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 15-05, Eastern Mediterranean University, Department of Economics.
  27. Bartosz Mackowiak, 2015. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," 2015 Meeting Papers 66, Society for Economic Dynamics.
  28. Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," Working Papers 625, Queen Mary University of London, School of Economics and Finance.
  29. Michele Lenza & Huw Pill & Lucrezia Reichlin, 2010. "Monetary policy in exceptional times," Economic Policy, CEPR;CES;MSH, vol. 25, pages 295-339, 04.
  30. Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
  31. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015. "Forecasting with VAR Models: Fat Tails and Stochastic Volatility," CReMFi Discussion Papers 2, CReMFi, School of Economics and Finance, QMUL.
  32. Birmingham, Colin & Conefrey, Thomas, 2011. "The Irish Macroeconomic Response to an External Shock with an Application to Stress Testing," Research Technical Papers 10/RT/11, Central Bank of Ireland.
  33. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  34. Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
  35. Boubaker, Sabri & Gounopoulos, Dimitrios & Nguyen, Duc Khuong & Paltalidis, Nikos, 2015. "Assessing the effects of unconventional monetary policy on pension funds risk incentives," MPRA Paper 73398, University Library of Munich, Germany, revised Aug 2016.
  36. Marek Rusnak & Tomas Havranek & Roman Horvath, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," CERGE-EI Working Papers wp446, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  37. Banbura, Marta & Giannone, Domenico & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
  38. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Predicting the yield curve using forecast combinations," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 79-98.
  39. Chudik, Alexander & Pesaran, M. Hashem, 2014. "Theory and practice of GVAR modeling," Globalization and Monetary Policy Institute Working Paper 180, Federal Reserve Bank of Dallas.
  40. Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2012. "Forecasting government bond yields with large Bayesian vector autoregressions," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2026-2047.
  41. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
  42. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2011. "Bayesian VARs: specification choices and forecast accuracy," Working Paper 1112, Federal Reserve Bank of Cleveland.
  43. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  44. Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.
  45. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2012. "Common Drifting Volatility in Large Bayesian VARs," CEPR Discussion Papers 8894, C.E.P.R. Discussion Papers.
  46. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  47. Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers 2012_04, Business School - Economics, University of Glasgow.
  48. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2007. "Explaining The Great Moderation: It Is Not The Shocks," CEPR Discussion Papers 6600, C.E.P.R. Discussion Papers.
  49. Liu, Philip & Theodoridis, Konstantinos, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
  50. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
  51. Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
  52. Philip Liu & Rafael Romeu & Troy D Matheson, 2011. "Real-time Forecasts of Economic Activity for Latin American Economies," IMF Working Papers 11/98, International Monetary Fund.
  53. Rangan Gupta & Alain Kabundi & Mampho Modise, 2010. "Has the SARB become more effective post inflation targeting?," Economic Change and Restructuring, Springer, vol. 43(3), pages 187-204, August.
  54. Qian, Hang, 2016. "A computationally efficient method for vector autoregression with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 433-437.
  55. Maik H. Wolters, 2015. "Evaluating Point and Density Forecasts of DSGE Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 74-96, 01.
  56. Tim Oliver Berg & Steffen Henzel, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo Group Munich.
  57. Francisco J. Buera & Alexander Monge-Naranjo & Giorgio E. Primiceri, 2008. "Learning the Wealth of Nations," NBER Working Papers 14595, National Bureau of Economic Research, Inc.
  58. Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2015. "Exploiting the monthly data flow in structural forecasting," Staff Reports 751, Federal Reserve Bank of New York.
  59. Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
  60. Colin Bermingham & Antonello D’Agostino, 2014. "Understanding and forecasting aggregate and disaggregate price dynamics," Empirical Economics, Springer, vol. 46(2), pages 765-788, March.
  61. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working Papers 200913, University of Pretoria, Department of Economics.
  62. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  63. Kapetanios, George & Mumtaz, Haroon & Stevens, Ibrahim & Theodoridis, Konstantinos, 2012. "Assessing the economy-wide effects of quantitative easing," Bank of England working papers 443, Bank of England.
  64. Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
  65. Blagov, Boris & Funke, Michael, 2014. "The credibility of Hong Kong’s currency board system: Looking through the prism of MS-VAR models with time-varying transition probabilities," BOFIT Discussion Papers 15/2014, Bank of Finland, Institute for Economies in Transition.
  66. Carlo Altavilla & Domenico Giannone & Michele Lenza, 2014. "The Financial and Macroeconomic Effects of the OMT Announcements," CSEF Working Papers 352, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  67. Dieppe, Alistair & Legrand, Romain & van Roye, Björn, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
  68. Gabor Pinter, 2015. "House Prices and Job Losses," Discussion Papers 1507, Centre for Macroeconomics (CFM).
  69. Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid, 2016. "Bayesian Rank Selection in Multivariate Regression," Monash Econometrics and Business Statistics Working Papers 6/16, Monash University, Department of Econometrics and Business Statistics.
  70. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
  71. Mandler, Martin & Scharnagl, Michael & Volz, Ute, 2016. "Heterogeneity in euro-area monetary policy transmission: Results from a large multi-country BVAR model," Discussion Papers 03/2016, Deutsche Bundesbank, Research Centre.
  72. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working Papers 1106, University of Nevada, Las Vegas , Department of Economics.
  73. Gary Koop, 2012. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(3), pages 143-167, September.
  74. Matkovskyy, Roman, 2012. "The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model," MPRA Paper 42173, University Library of Munich, Germany.
  75. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
  76. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute.
  77. Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
  78. Christian Glocker & Pascal Towbin, 2012. "The Macroeconomic Effects of Reserve Requirements," WIFO Working Papers 420, WIFO.
  79. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
  80. Franz Ruch & Mehmet Balcilar Author-Name-First Mehmet & Mampho P. Modise & Rangan Gupta, 2015. "Forecasting Core Inflation: The Case of South Africa," Working Papers 15-08, Eastern Mediterranean University, Department of Economics.
  81. Luis A. Gil-Alana & Rangan Gupta & Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2015. "Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes," Working Papers 201580, University of Pretoria, Department of Economics.
  82. Rangan Gupta & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working papers 2010-06, University of Connecticut, Department of Economics.
  83. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  84. 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).
  85. Haroon Mumtaz & Laura Sunder-Plassmann & Angeliki Theophilopoulou, 2016. "The State Level Impact of Uncertainty Shocks," Working Papers 793, Queen Mary University of London, School of Economics and Finance.
  86. Zeyyad Mandalinci & Haroon Mumtaz, 2015. "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Working Papers 757, Queen Mary University of London, School of Economics and Finance.
  87. Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," MPRA Paper 58131, University Library of Munich, Germany.
  88. Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series 47_09, The Rimini Centre for Economic Analysis.
  89. Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "VAR Models with Non-Gaussian Shocks," Discussion Papers 1609, Centre for Macroeconomics (CFM).
  90. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
  91. Thomai Filippeli & Konstantinos Theodoridis, 2015. "DSGE priors for BVAR models," Empirical Economics, Springer, vol. 48(2), pages 627-656, March.
  92. Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem, 2016. "Macroeconomic tail events with non-linear Bayesian VARs," Bank of England working papers 611, Bank of England.
  93. Korobilis, Dimitris, 2016. "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
  94. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
  95. Kenneth Beauchemin & Saeed Zaman, 2011. "A medium scale forecasting model for monetary policy," Working Paper 1128, Federal Reserve Bank of Cleveland.
  96. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
  97. Gregor Bäurle & Daniel Kaufmann & Sylvia Kaufmann & Rodney W. Strachan, 2016. "Changing dynamics at the zero lower bound," Working Papers 16.02, Swiss National Bank, Study Center Gerzensee.
  98. Sarah Drought & Chris McDonald, 2011. "Forecasting house price inflation: a model combination approach," Reserve Bank of New Zealand Discussion Paper Series DP2011/07, Reserve Bank of New Zealand.
  99. Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015. "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, vol. 31(3), pages 757-768.
  100. Tomas Adam & Sona Benecka & Jakub Mateju, 2014. "Risk Aversion, Financial Stress and Their Non-Linear Impact on Exchange Rates," Working Papers 2014/07, Czech National Bank, Research Department.
  101. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
  102. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
  103. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
  104. Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  105. Pettenuzzo, Davide & Timmermann, Allan G, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
  106. Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris West - Nanterre la Défense, EconomiX.
  107. Clark, Todd E. & McCracken, Michael W., 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Paper 1413, Federal Reserve Bank of Cleveland.
  108. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
  109. 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.
  110. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," William Davidson Institute Working Papers Series wp1038, William Davidson Institute at the University of Michigan.
  111. Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper Series 40_14, The Rimini Centre for Economic Analysis.
  112. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, Elsevier.
  113. Dimitris P. Louzis, 2014. "Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach," Working Papers 184, Bank of Greece.
  114. Gianluca Cubadda & Barbara Guardabascio, 2010. "A Medium-N Approach to Macroeconomic Forecasting," CEIS Research Paper 176, Tor Vergata University, CEIS, revised 09 Dec 2010.
  115. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "Bayesian Vector Autoregressions with Non-Gaussian Shocks," CReMFi Discussion Papers 5, CReMFi, School of Economics and Finance, QMUL.
  116. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
  117. Joshua C.C. Chan & Eric Eisenstat, 2013. "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics 2013-604, Australian National University, College of Business and Economics, School of Economics.
  118. Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary University of London, School of Economics and Finance.
  119. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
  120. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers 715, Queen Mary University of London, School of Economics and Finance.
  121. Pirschel, Inske & Wolters, Maik H., 2014. "Forecasting German key macroeconomic variables using large dataset methods," Kiel Working Papers 1925, Kiel Institute for the World Economy (IfW).
  122. Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
  123. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Open Access publications 10197/7588, School of Economics, University College Dublin.
  124. Bilge Erten, 2012. "Macroeconomic transmission of eurozone shocks to emerging economies," Working Papers 2012-12, CEPII research center.
  125. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
  126. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  127. Altavilla, Carlo & Giannone, Domenico & Lenza, Michele, 2014. "The financial and macroeconomic effects of OMT announcements," Working Paper Series 1707, European Central Bank.
  128. Simone Auer, 2014. "Monetary Policy Shocks and Foreign Investment Income: Evidence from a large Bayesian VAR," Working Papers 2014-02, Swiss National Bank.
  129. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
  130. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Large Vector Autoregressions with Asymmetric Priors," Working Papers 759, Queen Mary University of London, School of Economics and Finance.
  131. Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Theory-coherent forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 145-155.
  132. Bicu A.C. & Lieb L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
  133. Jan Frait & Simona Malovana & Vladimir Tomsik, 2015. "The Interaction of Monetary and Macroprudential Policies in the Pursuit of the Central Bank's Primary Objectives," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2014/2015, chapter 0, pages 110-120 Czech National Bank, Research Department.
  134. Miguel Belmonte & Gary Koop & Dimitris Korobilis, 2011. "Hierarchical Shrinkage in Time-Varying Parameter Models," Working Papers 1137, University of Strathclyde Business School, Department of Economics.
  135. Lombardi, Marco J. & Osbat, Chiara & Schnatz, Bernd, 2010. "Global commodity cycles and linkages a FAVAR approach," Working Paper Series 1170, European Central Bank.
  136. International Monetary Fund. European Dept., 2014. "Former Yugoslav Republic of Macedonia; Selected Issues," IMF Staff Country Reports 14/232, International Monetary Fund.
  137. Alessandri, Piergiorgio & Nelson, Benjamin, 2012. "Simple banking: profitability and the yield curve," Bank of England working papers 452, Bank of England.
  138. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, vol. 45(1), pages 635-664, August.
  139. Mumtaz, Haroon & Surico, Paolo, 2013. "Policy Uncertainty and Aggregate Fluctuations," CEPR Discussion Papers 9694, C.E.P.R. Discussion Papers.
  140. Giannone, Domenico & Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2011. "Non-standard monetary policy measures and monetary developments," Working Paper Series 1290, European Central Bank.
  141. Thomai Filippeli, 2011. "Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation," 2011 Meeting Papers 396, Society for Economic Dynamics.
  142. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 2015-50, Peruvian Economic Association.
  143. Carrera, Cesar & Ledesma, Alan, 2015. "Proyección de la inflación agregada con modelos de vectores autorregresivos bayesianos," Working Papers 2015-003, Banco Central de Reserva del Perú.
  144. Güneş Kamber & Konstantinos Theodoridis & Christoph Thoenissen, 2014. "News-Driven Business Cycles in Small Open Economies," Working Papers 2014017, The University of Sheffield, Department of Economics.
  145. Yasutomo Murasawa, 2014. "Measuring the natural rates, gaps, and deviation cycles," Empirical Economics, Springer, vol. 47(2), pages 495-522, September.
  146. Tevdovski, Dragan & Petrevski, Goran & Bogoev, Jane, 2016. "The effects of macroeconomic policies under fixed exchange rates: A Bayesian VAR analysis," MPRA Paper 73461, University Library of Munich, Germany, revised 21 Jun 2016.
  147. Tomáš Slacík & Katharina Steiner & Julia Wörz, 2014. "Can Trade Partners Help Better FORCEE the Future? Impact of Trade Linkages on Economic Growth Forecasts in Selected CESEE Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 36-56.
  148. Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
  149. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank, Research Department.
  150. Pinter, Gabor & Theodoridis, Konstantinos & Yates, Tony, 2013. "Risk news shocks and the business cycle," Bank of England working papers 483, Bank of England.
  151. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial regimes and uncertainty shocks," BCAM Working Papers 1404, Birkbeck Centre for Applied Macroeconomics.
  152. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  153. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 118-141.
  154. Zeyyad Mandalinci, 2015. "Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models," CReMFi Discussion Papers 3, CReMFi, School of Economics and Finance, QMUL.
  155. Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-73, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  156. Kilian, Lutz & Lewis, Logan, 2009. "Does the Fed Respond to Oil Price Shocks?," CEPR Discussion Papers 7594, C.E.P.R. Discussion Papers.
  157. Troy D. Matheson, 2014. "New indicators for tracking growth in real time," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 51-71.
  158. Beatrice Simo-Kengne & Stephen Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 226-243, April.
  159. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  160. Gonzalo Echavarría M. & Wildo González P, 2011. "Un Modelo de Factores Dinámicos de Pequeña Escala para el Imacec," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(2), pages 109-118, August.
  161. Rangan Gupta & Marius Jurgilas & Alain Kabundi, 2009. "The Effect Of Monetary Policy On Real House Price Growth In South Africa: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200905, University of Pretoria, Department of Economics.
  162. Borus Jungbacker & Siem Jan Koopman, 2015. "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, vol. 18(2), pages C1-C21, 06.
  163. Mattéo Luciani & Lorenzo Ricci, 2013. "Nowcasting Norway," Working Papers ECARES ECARES 2013-10, ULB -- Universite Libre de Bruxelles.
  164. Rangan Gupta & Alain Kabundi, 2009. "The Effect Of Monetary Policy On House Price Inflation: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200903, University of Pretoria, Department of Economics.
  165. Davide Pettenuzzo & Gary Koop & Dimitris Korobilis, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Businesss School, revised Apr 2016.
  166. Rangan Gupta & Monique Reid, 2012. "Macroeconomic Surprises and Stock Returns in South Africa," Working Papers 05/2012, Stellenbosch University, Department of Economics.
  167. Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
  168. Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers 57, Brandeis University, Department of Economics and International Businesss School.
  169. Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2012. "Money, Credit, Monetary Policy and the Business Cycle in the Euro Area," Working Papers ECARES ECARES 2012-008, ULB -- Universite Libre de Bruxelles.
  170. Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca, 2010. "Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach," CEPR Discussion Papers 7746, C.E.P.R. Discussion Papers.
  171. Georgiadis, Georgios, 2015. "To bi, or not to bi? Differences in spillover estimates from bilateral and multilateral multi-country models," Working Paper Series 1868, European Central Bank.
  172. Domenico Giannone & Michele Lenza & Huw Pill & Lucrezia Reichlin, 2012. "The ECB and the Interbank Market," Economic Journal, Royal Economic Society, vol. 122(564), pages F467-F486, November.
  173. Neville Francis & Michael T. Owyang & Tatevik Sekhposyan, 2009. "The local effects of monetary policy," Working Papers 2009-048, Federal Reserve Bank of St. Louis.
  174. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  175. Haroon Mumtaz & Alexandra Solovyeva & Elena Vasilieva, 2012. "Asset prices, credit and the Russian economy," Joint Research Papers 1, Centre for Central Banking Studies, Bank of England.
  176. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
  177. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
  178. Lucrezia Reichlin, 2009. "Comment on "How Has the Euro Changed the Monetary Transmission Mechanism?"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 127-139 National Bureau of Economic Research, Inc.
  179. Brave, Scott & Butters, R. Andrew & Justiniano, Alejandro, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
  180. Sa, Filipa & Wieladek, Tomasz, 2010. "Monetary policy, capital inflows and the housing boom," Bank of England working papers 405, Bank of England.
  181. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2008. "A Comparison Of Forecast Performance Between Federal Reserve Staff Forecasts, Simple Reduced-Form Models, And A Dsge Model," CAMA Working Papers 2009-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  182. Petre Caraiani, 2014. "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, vol. 46(2), pages 743-763, March.
  183. Tatjana Dahlhaus & Justin-Damien Guénette & Garima Vasishtha, 2015. "Nowcasting BRIC+M in Real Time," Staff Working Papers 15-38, Bank of Canada.
  184. Tim Oliver Berg, 2015. "Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound," Ifo Working Paper Series Ifo Working Paper No. 203, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  185. Deniz O Igan & Alain N. Kabundi & Francisco d Nadal De Simone & Natalia T. Tamirisa, 2013. "Monetary Policy and Balance Sheets," IMF Working Papers 13/158, International Monetary Fund.
  186. Joshua C.C. Chan, 2015. "Large Bayesian VARs: A flexible Kronecker error covariance structure," CAMA Working Papers 2015-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  187. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
  188. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working papers 2012-38, University of Connecticut, Department of Economics, revised Dec 2013.
  189. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models," Economics Working Papers 1476, Department of Economics and Business, Universitat Pompeu Fabra.
  190. Nalban, 2016. "Sentiment-Driven Asymmetries in Romanian Monetary Policy Transmission," Eastern European Economics, Taylor & Francis Journals, vol. 54(3), pages 251-270, May.
  191. Carriero, Andrea & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2015. "Macroeconomic information, structural change, and the prediction of fiscal aggregates," International Journal of Forecasting, Elsevier, vol. 31(2), pages 325-348.
  192. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
  193. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
  194. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "Technical appendix to: a new look at variation in employment growth in Canada," Working Papers 26145533, Lancaster University Management School, Economics Department.
  195. Campolieti, Michele & Gefang, Deborah & Koop, Gary, 2014. "A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 257-275.
  196. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
  197. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
  198. Hanck, Christoph & Prüser, Jan, 2016. "House prices and interest rates: Bayesian evidence from Germany," Ruhr Economic Papers 620, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  199. Lomivorotov, Rodion, 2015. "Bayesian estimation of monetary policy in Russia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 41-63.
  200. Ching Wai (Jeremy) Chiu & Bjørn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper RWP 11-11, Federal Reserve Bank of Kansas City.
  201. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2009. "Business cycles in the euro area," Working Paper Series 1010, European Central Bank.
  202. Luigi Paciello, 2009. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," EIEF Working Papers Series 0917, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2011.
  203. Huseynov, Salman & Ahmadov, Vugar & Adigozalov, Shaig, 2014. "Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?," MPRA Paper 63515, University Library of Munich, Germany.
  204. Michele Piffer, 2016. "Monetary Policy and Defaults in the US," Discussion Papers of DIW Berlin 1559, DIW Berlin, German Institute for Economic Research.
  205. Gustavo Fruet Dias & George Kapetanios, 2014. "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets," CREATES Research Papers 2014-37, Department of Economics and Business Economics, Aarhus University.
  206. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers 453, Bank of England.
  207. Matkovskyy, Roman, 2012. "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
    [Forecasting Economic Development of Ukraine based on BVAR models with different prior
    ," MPRA Paper 44725, University Library of Munich, Germany, revised Nov 2012.
  208. repec:dau:papers:123456789/12798 is not listed on IDEAS
  209. Kascha, Christian & Trenkler, Carsten, 2015. "Forecasting VARs, model selection, and shrinkage," Working Papers 15-07, University of Mannheim, Department of Economics.
  210. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
  211. Jürgen Antony & D. Broer, 2015. "Euro area financial shocks and economic activity in The Netherlands," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 571-595, August.
  212. repec:bny:wpaper:0037 is not listed on IDEAS
  213. repec:hhs:bofitp:2014_015 is not listed on IDEAS
  214. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
  215. Higgins, Patrick C., 2014. "GDPNow: A Model for GDP "Nowcasting"," FRB Atlanta Working Paper 2014-7, Federal Reserve Bank of Atlanta.
  216. Schreiber, Sven, 2013. "Forecasting business-cycle turning points with (relatively large) linear systems in real time," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79709, Verein für Socialpolitik / German Economic Association.
  217. Berg, Tim Oliver, 2015. "Multivariate Forecasting with BVARs and DSGE Models," MPRA Paper 62405, University Library of Munich, Germany.
  218. Alexie Alupoaiei & Ana-Maria Sandica, 2013. "Assessing Structural Convergence between Romanian Economy and Euro Area: A Bayesian Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 3(3), pages 372-383, July.
  219. Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
  220. Adina Popescu & Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary; Results from a Large Bayesian VAR," IMF Working Papers 11/259, International Monetary Fund.
  221. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)," Papers 1608.02740, arXiv.org, revised Aug 2016.
  222. Mthuli Ncube & Eliphas Ndou, 2013. "Working Paper 169 - Monetary Policy and Exchange Rate Shocks on South African Trade Balance," Working Paper Series 448, African Development Bank.
  223. Matteo Luciani, 2011. "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES ECARES 2011‐022, ULB -- Universite Libre de Bruxelles.
  224. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  225. Lee, Namgil & Choi, Hyemi & Kim, Sung-Ho, 2016. "Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 250-276.
  226. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial indicators and density forecasts for US output and inflation," Temi di discussione (Economic working papers) 977, Bank of Italy, Economic Research and International Relations Area.
  227. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
  228. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
  229. Damian Stelmasiak & Grzegorz Szafrański, 2016. "Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 8(1), pages 21-42, March.
  230. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  231. Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
  232. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  233. 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.
  234. Lance Kent, 2014. "Bilateral Linkages and the International Transmission of Business Cycles," Working Papers 149, Department of Economics, College of William and Mary.
  235. Nelson, Benjamin & Pinter, Gabor & Theodoridis, Konstantinos, 2015. "Do contractionary monetary policy shocks expand shadow banking?," Bank of England working papers 521, Bank of England.
  236. Bekiros, Stelios D. & Paccagnini, Alessia, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 298-323.
  237. Helene Poirson Ward & Sebastian Weber, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 11/218, International Monetary Fund.
  238. Chai, Jian & Guo, Ju-E. & Meng, Lei & Wang, Shou-Yang, 2011. "Exploring the core factors and its dynamic effects on oil price: An application on path analysis and BVAR-TVP model," Energy Policy, Elsevier, vol. 39(12), pages 8022-8036.
  239. Annika Schnücker, 2016. "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin 1612, DIW Berlin, German Institute for Economic Research.
  240. Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
  241. Wolters, Maik H., 2011. "Forecasting under Model Uncertainty," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48723, Verein für Socialpolitik / German Economic Association.
  242. Florian Huber, 2014. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Papers wuwp179, Vienna University of Economics and Business, Department of Economics.
  243. Schreiber, Sven, 2014. "Anticipating business-cycle turning points in real time using density forecasts from a VAR," Discussion Papers 2014/2, Free University Berlin, School of Business & Economics.
  244. Kaabia, Olfa & Abid, Ilyes & Mkaouar, Farid, 2016. "The dark side of the black gold shock onto Europe: One stock's joy is another stock's sorrow," Economic Modelling, Elsevier, vol. 58(C), pages 642-654.
  245. Ellis W. Tallman & Saeed Zaman, 2012. "Where would the federal funds rate be, if it could be negative?," Economic Commentary, Federal Reserve Bank of Cleveland, issue Oct.
  246. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers 201132, University of Pretoria, Department of Economics.
  247. Elton Beqiraj & Massimiliano Tancioni, 2014. "Fiscal Consolidation and Sovereign Risk in the Euro-zone Periphery," Working Papers 167, University of Rome La Sapienza, Department of Public Economics.
  248. repec:hhs:bofitp:2014_022 is not listed on IDEAS
  249. Deryugina, Elena & Ponomarenko, Alexey, 2014. "A large Bayesian vector autoregression model for Russia," BOFIT Discussion Papers 22/2014, Bank of Finland, Institute for Economies in Transition.
  250. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
  251. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  252. 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.
  253. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "A new look at variation in employment growth in Canada," Working Papers 26145565, Lancaster University Management School, Economics Department.
  254. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  255. Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015. "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, vol. 39(4), pages 632-643.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.