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Citations for "Bayesian VARs with large panels"

by Domenico Giannone & Martha Banbura & Lucrezia Reichlin

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  1. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
  2. 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.
  3. 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).
  4. 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.
  5. Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
  6. 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.
  7. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.
  15. 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.
  16. 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.
  17. Yasutomo Murasawa, 2014. "Measuring the natural rates, gaps, and deviation cycles," Empirical Economics, Springer, vol. 47(2), pages 495-522, September.
  18. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2009. "Business cycles in the euro area," Working Paper Series 1010, European Central Bank.
  19. International Monetary Fund., 2014. "Former Yugoslav Republic of Macedonia; Selected Issues," IMF Staff Country Reports 14/232, International Monetary Fund.
  20. Tatjana Dahlhaus & Justin-Damien Guénette & Garima Vasishtha, 2015. "Nowcasting BRIC+M in Real Time," Staff Working Papers 15-38, Bank of Canada.
  21. Christian Glocker & Pascal Towbin, 2012. "The Macroeconomic Effects of Reserve Requirements," WIFO Working Papers 420, WIFO.
  22. 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.
  23. 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.
  24. Kenneth Beauchemin & Saeed Zaman, 2011. "A medium scale forecasting model for monetary policy," Working Paper 1128, Federal Reserve Bank of Cleveland.
  25. 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.
  26. Carriero, A. & Kapetanios, G. & Marcellino, M., 2009. "Forecasting exchange rates with a large Bayesian VAR," International Journal of Forecasting, Elsevier, vol. 25(2), pages 400-417.
  27. 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.
  28. 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.
  29. Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers 2013-35, Scottish Institute for Research in Economics (SIRE).
  30. 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.
  31. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
  32. 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.
  33. Liu, Philip & Matheson, Troy & Romeu, Rafael, 2012. "Real-time forecasts of economic activity for Latin American economies," Economic Modelling, Elsevier, vol. 29(4), pages 1090-1098.
  34. repec:dau:papers:123456789/12798 is not listed on IDEAS
  35. Higgins, Patrick C., 2014. "GDPNow: A Model for GDP "Nowcasting"," FRB Atlanta Working Paper 2014-7, Federal Reserve Bank of Atlanta.
  36. Marcin Kolasa & Michal Rubaszek, 2016. "Does foreign sector help forecast domestic variables in DSGE models?," Working Papers 2016-022, Warsaw School of Economics, Collegium of Economic Analysis.
  37. Philip Liu & Konstantinos Theodoridis, 2012. "DSGE Model Restrictions for Structural VAR Identification," International Journal of Central Banking, International Journal of Central Banking, vol. 8(4), pages 61-95, December.
  38. 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).
  39. Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
  40. Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
  41. Gary M. Koop, 2013. "Forecasting with Medium and Large Bayesian VARS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, 03.
  42. Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2013. "Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility," CEPR Discussion Papers 9312, C.E.P.R. Discussion Papers.
  43. Filipa Sá & Tomasz Wieladek, 2011. "Monetary policy, capital inflows, and the housing boom," Globalization and Monetary Policy Institute Working Paper 80, Federal Reserve Bank of Dallas.
  44. 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.
  45. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
  46. 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 2009-19, University of Connecticut, Department of Economics.
  47. 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.
  48. Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
  49. 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.
  50. Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series 47_09, The Rimini Centre for Economic Analysis.
  51. 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.
  52. Lomivorotov, Rodion, 2015. "Bayesian estimation of monetary policy in Russia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 41-63.
  53. 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.
  54. Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015. "Do Precious Metal Prices Help in Forecasting South African Inflation?," Working Papers 03/2015, Stellenbosch University, Department of Economics.
  55. Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016. "VAR Models with Non-Gaussian Shocks," Discussion Papers 1609, Centre for Macroeconomics (CFM).
  56. Michele Lenza, 2015. "The financial and macroeconomic effects of OMT announcements," Research Bulletin, European Central Bank, vol. 22, pages 12-16.
  57. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  58. Neville Francis & Michael T. Owyang & Tatevik Sekhposyan, 2009. "The local effects of monetary policy," Working Papers 2009-048, Federal Reserve Bank of St. Louis.
  59. 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.
  60. Michele Piffer, 2016. "Monetary Policy and Defaults in the US," Discussion Papers of DIW Berlin 1559, DIW Berlin, German Institute for Economic Research.
  61. 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.
  62. Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
  63. 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.
  64. Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
  65. Domenico Giannone & Michèle Lenza & Huw Pill & Lucrezia Reichlin, 2010. "Non standard Monetary Policy measures and monetary developments," Working Papers ECARES 2010-040, ULB -- Universite Libre de Bruxelles.
  66. Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series 1600, European Central Bank.
  67. Marco Lombardi & Chiara Osbat & Bernd Schnatz, 2012. "Global commodity cycles and linkages: a FAVAR approach," Empirical Economics, Springer, vol. 43(2), pages 651-670, October.
  68. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
  69. Dieppe, Alistair & Legrand, Romain & van Roye, Björn, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
  70. 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.
  71. 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.
  72. Dimitris Korobilis., 2015. "Prior selection for panel vector autoregressions," Working Papers 2015_10, Business School - Economics, University of Glasgow.
  73. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
  74. Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
  75. Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.
  76. 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.
  77. 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.
  78. 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.
  79. 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.
  80. Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, 02.
  81. 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.
  82. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 2015-50, Peruvian Economic Association.
  83. Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
  84. 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.
  85. 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.
  86. Rochelle M. Edge & Michael T. Kiley & Jean-Philippe Laforte, 2010. "A comparison of forecast performance between Federal Reserve staff forecasts, simple reduced-form models, and a DSGE model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 720-754.
  87. 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.
  88. KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," CORE Discussion Papers 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  89. 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.
  90. Pettenuzzo, Davide & Timmermann, Allan G, 2016. "Forecasting Macroeconomic Variables under Model Instability," CEPR Discussion Papers 11355, C.E.P.R. Discussion Papers.
  91. Altavilla, Carlo & Giannone, Domenico, 2015. "The effectiveness of nonstandard monetary policy measures: evidence from survey data," Staff Reports 752, Federal Reserve Bank of New York.
  92. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
  93. Marek Rusnak & Tomas Havranek & Roman Horvath, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers 2011/02, Czech National Bank, Research Department.
  94. 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.
  95. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," Research Technical Papers 07/RT/12, Central Bank of Ireland.
  96. Kociecki, Andrzej & Rubaszek, Michał & Ca' Zorzi, Michele, 2012. "Bayesian analysis of recursive SVAR models with overidentifying restrictions," Working Paper Series 1492, European Central Bank.
  97. Mihaela Simionescu, 2016. "Foreign Direct Investment and Sustainable Development. A Regional Approach for Romania," Working Papers of Macroeconomic Modelling Seminar 162702, Institute for Economic Forecasting.
  98. 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.
  99. Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
  100. 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.
  101. 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.
  102. 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.
  103. Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW).
  104. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
  105. 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.
  106. Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
  107. Piergiorgio Alessandri & Haroon Mumtaz, 2013. "Financial conditions and density forecasts for US Output and inflation," Joint Research Papers 4, Centre for Central Banking Studies, Bank of England.
  108. Gunes Kamber & Konstantinos Theodoridis & Christoph Thoenissen, 2014. "News-driven business cycles in small open economies," CAMA Working Papers 2014-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  109. Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
  110. Georgiadis, Georgios, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization and Monetary Policy Institute Working Paper 256, Federal Reserve Bank of Dallas.
  111. Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012. "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers ECO2012/08, European University Institute.
  112. 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.
  113. 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.
  114. 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.
  115. 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.
  116. Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, Natalia Tamirisa, 2013. "Monetary Policy and Balance Sheets," Working Papers 364, Economic Research Southern Africa.
  117. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
  118. 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.
  119. D'Agostino, Antonello & Bermingham, Colin, 2010. "Understanding and Forecasting Aggregate and Disaggregate Price Dynamics," Research Technical Papers 8/RT/10, Central Bank of Ireland.
  120. Francesco Zanetti & Konstantinos Theodoridis, 2014. "News and Labor Market Dynamics in the Data and in Matching Models," Economics Series Working Papers 699, University of Oxford, Department of Economics.
  121. Jos Jansen & Xiaowen Jin & Jasper de Winter, 2012. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," DNB Working Papers 365, Netherlands Central Bank, Research Department.
  122. 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.
  123. Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
  124. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Bayesian VARs: Specification Choices and Forecast Accuracy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 46-73, 01.
  125. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics 1408, Faculty of Economics, University of Cambridge.
  126. 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.
  127. 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.
  128. 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.
  129. Berg, Tim Oliver, 2015. "Multivariate Forecasting with BVARs and DSGE Models," MPRA Paper 62405, University Library of Munich, Germany.
  130. Helene Poirson Ward & Sebastian Weber, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 11/218, International Monetary Fund.
  131. 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.
  132. Inske Pirschel & Maik Wolters, 2014. "Forecasting German Key Macroeconomic Variables Using Large Dataset Methods," Kiel Working Papers 1925, Kiel Institute for the World Economy.
  133. 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.
  134. 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.
  135. Luigi Paciello, 2011. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1663-1684, December.
  136. Bermingham, Colin & Conefrey, Thomas, 2014. "The Irish macroeconomic response to an external shock with an application to stress testing," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 454-470.
  137. 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.
  138. 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.
  139. Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
  140. Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
  141. 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.
  142. Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Theory-coherent forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 145-155.
  143. Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
  144. Kilian, Lutz & Lewis, Logan, 2009. "Does the Fed Respond to Oil Price Shocks?," CEPR Discussion Papers 7594, C.E.P.R. Discussion Papers.
  145. 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.
  146. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  147. 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.
  148. 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.
  149. 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.
  150. 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.
  151. Domenico Giannone & Michèle Lenza & Daphné Momferatu & Luca Onorante, 2010. "Short-term inflation projections: a Bayesian vector autoregressive approach," Working Papers ECARES ECARES 2010-011, ULB -- Universite Libre de Bruxelles.
  152. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2012. "The ECB and the interbank market," Working Paper Series 1496, European Central Bank.
  153. 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.
  154. 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.
  155. Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)," Papers 1608.02740, arXiv.org, revised Dec 2016.
  156. Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2013s-11, CIRANO.
  157. 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.
  158. Matteo Luciani & Lorenzo Ricci, 2014. "Nowcasting Norway," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
  159. Jana Eklund & George Kapetanios, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, National Institute of Economic and Social Research, vol. 203(1), pages 109-115, January.
  160. 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.
  161. 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.
  162. 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.
  163. Zeyyad Mandalinci, 2015. "Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models," CReMFi Discussion Papers 3, CReMFi, School of Economics and Finance, QMUL.
  164. 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.
  165. 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.
  166. repec:bny:wpaper:0037 is not listed on IDEAS
  167. 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.
  168. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Nowcasting," Working Papers ECARES ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
  169. Khaled Guesmi & Nabila BOUKEF JLASSI & Ahmed Atil & Imen Haouet, 2016. "On the Influence of Oil Prices on Financial Variables," Economics Bulletin, AccessEcon, vol. 36(4), pages 2261-2274.
  170. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 53.
  171. Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2010. "Monetary policy in exceptional times," Working Paper Series 1253, European Central Bank.
  172. Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2012. "Money, credit, monetary policy and the business cycle in the euro area," CEPR Discussion Papers 8944, C.E.P.R. Discussion Papers.
  173. 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.
  174. 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.
  175. 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.
  176. Luca Sala, 2013. "DSGE models in the frequency domain," Working Papers 504, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  177. 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.
  178. Thomai Filippeli & Konstantinos Theodoridis, 2015. "DSGE priors for BVAR models," Empirical Economics, Springer, vol. 48(2), pages 627-656, March.
  179. 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.
  180. 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.
  181. Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
  182. 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.
  183. 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.
  184. Gupta, Rangan & Kotzé, Kevin, 2017. "The role of oil prices in the forecasts of South African interest rates: A Bayesian approach," Energy Economics, Elsevier, vol. 61(C), pages 270-278.
  185. Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," Ifo Working Paper Series Ifo Working Paper No. 155, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  186. Gunter, Ulrich & Önder, Irem, 2016. "Forecasting city arrivals with Google Analytics," Annals of Tourism Research, Elsevier, vol. 61(C), pages 199-212.
  187. 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.
  188. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute.
  189. 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.
  190. 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.
  191. Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
  192. 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.
  193. Cubadda, Gianluca & Guardabascio, Barbara, 2012. "A medium-N approach to macroeconomic forecasting," Economic Modelling, Elsevier, vol. 29(4), pages 1099-1105.
  194. Carlo Altavilla & Domenico Giannone & Michele Lenza, 2016. "The Financial and Macroeconomic Effects of the OMT Announcements," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 29-57, September.
  195. 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.
  196. Clark, Todd E. & McCracken, Michael W., 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Paper 1413, Federal Reserve Bank of Cleveland.
  197. Didier Nibbering & Richard Paap & Michel van der Wel, 2016. "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers 16-107/III, Tinbergen Institute.
  198. Pinter, Gabor, 2015. "House prices and job losses," Bank of England working papers 569, Bank of England.
  199. 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.
  200. 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.
  201. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages F316-F347, November.
  202. 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.
  203. Raffaella Giacomini & Barbara Rossi, 2014. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona Graduate School of Economics.
  204. 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.
  205. 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.
  206. 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.
  207. Clark, Todd E. & Carriero, Andrea & Marcellino, Massimiliano, 2016. "Large Vector Autoregressions with Stochastic Volatility and Flexible Priors," Working Paper 1617, Federal Reserve Bank of Cleveland.
  208. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
  209. Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554 Edward Elgar Publishing.
  210. 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.
  211. Rangan Gupta & Monique Reid, 2012. "Macroeconomic Surprises and Stock Returns in South Africa," Working Papers 201212, University of Pretoria, Department of Economics.
  212. 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.
  213. 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.
  214. 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.
  215. Amir-Ahmadi, Pooyan & Matthes, Christian & Wang, Mu-Chun, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
  216. Nelson, Benjamin & Pinter, Gabor & Theodoridis, Konstantinos, 2015. "Do contractionary monetary policy shocks expand shadow banking?," Bank of England working papers 521, Bank of England.
  217. 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.
  218. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
  219. Jonas Dovern & Martin Feldkircher & Florian Huber, 2015. "Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR," Working Papers 200, Oesterreichische Nationalbank (Austrian Central Bank).
  220. 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.
  221. Qian, Hang, 2016. "A computationally efficient method for vector autoregression with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 433-437.
  222. Helmut Lütkepohl, 2012. "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin 1230, DIW Berlin, German Institute for Economic Research.
  223. Giacomini, Raffaella & Ragusa, Giuseppe, 2011. "Incorporating theoretical restrictions into forecasting by projection methods," CEPR Discussion Papers 8604, C.E.P.R. Discussion Papers.
  224. 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.
  225. Pinter, Gabor & Theodoridis, Konstantinos & Yates, Tony, 2013. "Risk news shocks and the business cycle," Bank of England working papers 483, Bank of England.
  226. 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.
  227. Callegari, Giovanni & Cimadomo, Jacopo & Ricco, Giovanni, 2016. "Signals from the government: policy disagreement and the transmission of fiscal shocks," Working Paper Series 1964, European Central Bank.
  228. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
  229. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  230. Koop, Gary, 2014. "Forecasting with dimension switching VARs," International Journal of Forecasting, Elsevier, vol. 30(2), pages 280-290.
  231. 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.
  232. Peter Broer & Jürgen Antony, 2013. "Financial Shocks and Economic Activity in the Netherlands," CPB Discussion Paper 260, CPB Netherlands Bureau for Economic Policy Analysis.
  233. Mumtaz, Haroon & Surico, Paolo, 2013. "Policy Uncertainty and Aggregate Fluctuations," CEPR Discussion Papers 9694, C.E.P.R. Discussion Papers.
  234. 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.
  235. 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.
  236. Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
  237. 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.
  238. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
  239. 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, pages -.
  240. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
  241. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Regimes and Uncertainty Shocks," Working Papers 729, Queen Mary University of London, School of Economics and Finance.
  242. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  243. Bilge Erten, 2012. "Macroeconomic transmission of eurozone shocks to emerging economies," Working Papers 2012-12, CEPII research center.
  244. 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.
  245. Meyer, Brent & Zaman, Saeed, 2016. "The Usefulness of the Median CPI in Bayesian VARs Used for Macroeconomic Forecasting and Policy," FRB Atlanta Working Paper 2016-13, Federal Reserve Bank of Atlanta.
  246. Lance Kent, 2014. "Bilateral Linkages and the International Transmission of Business Cycles," Working Papers 149, Department of Economics, College of William and Mary.
  247. Thomai Filippeli, 2011. "Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation," 2011 Meeting Papers 396, Society for Economic Dynamics.
  248. 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).
  249. 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.
  250. Domenico Giannone & Michèle Lenza & Huw Pill & Lucrezia Reichlin, 2010. "Non‐Standard Monetary Policy Measures," Working Papers ECARES ECARES 2010-040, ULB -- Universite Libre de Bruxelles.
  251. 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".
  252. 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.
  253. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2013. "Predictive likelihood comparisons with DSGE and DSGE-VAR models," Working Paper Series 1536, European Central Bank.
  254. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 118-141.
  255. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers 450, Bank of England.
  256. 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.
  257. 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.
  258. Kascha, Christian & Trenkler, Carsten, 2015. "Forecasting VARs, model selection, and shrinkage," Working Papers 15-07, University of Mannheim, Department of Economics.
  259. 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.
  260. Annika Schnücker, 2016. "Restrictions Search for Panel VARs," Discussion Papers of DIW Berlin 1612, DIW Berlin, German Institute for Economic Research.
  261. Nalban, 2016. "Sentiment-Driven Asymmetries in Romanian Monetary Policy Transmission," Eastern European Economics, Taylor & Francis Journals, vol. 54(3), pages 251-270, May.
  262. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.