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Joint Bayesian inference about impulse responses in VAR models

Citations

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Cited by:

  1. Chen, Zhengyang & Valcarcel, Victor J., 2025. "Modeling inflation expectations in forward-looking interest rate and money growth rules," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 170, pages 1-21.
  2. Berger, Tino & Richter, Julia & Wong, Benjamin, 2022. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  3. Szafranek, Karol & Szafrański, Grzegorz & Leszczyńska-Paczesna, Agnieszka, 2024. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 789-810.
  4. Kilian, Lutz & Zhou, Xiaoqing, 2022. "The impact of rising oil prices on U.S. inflation and inflation expectations in 2020–23," Energy Economics, Elsevier, vol. 113(C).
  5. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
  6. Kilian, Lutz & Zhou, Xiaoqing, 2023. "A broader perspective on the inflationary effects of energy price shocks," Energy Economics, Elsevier, vol. 125(C).
  7. Yambolov, Andrian, 2025. "How to conduct joint Bayesian inference in VAR models?," Working Paper Series 3100, European Central Bank.
  8. Jochen Güntner & Magnus Reif & Maik Wolters, 2024. "Sudden stop: Supply and demand shocks in the German natural gas market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1282-1300, November.
  9. Reichlin, Lucrezia & Ricco, Giovanni & Tarbé, Matthieu, 2023. "Monetary–fiscal crosswinds in the European Monetary Union," European Economic Review, Elsevier, vol. 151(C).
  10. Vatsa, Puneet & Pino, Gabriel, 2024. "Do petrol prices affect inflation and inflation expectations? Evidence from New Zealand," Energy Economics, Elsevier, vol. 139(C).
  11. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
  12. Kilian, Lutz, 2023. "How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises," CEPR Discussion Papers 18348, C.E.P.R. Discussion Papers.
  13. Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Nov 2024.
  14. Vatsa, Puneet & Pino, Gabriel & Clements, Adam, 2025. "Gasoline prices, gasoline price expectations, and inflation expectations in the United States," Energy Economics, Elsevier, vol. 146(C).
  15. Rubaszek, Michał & Szafranek, Karol, 2025. "Modelling oil consumption in Baumeister and Hamilton’s (2019) model of the global oil market," Economics Letters, Elsevier, vol. 248(C).
  16. Mohamad B. Karaki & Andrios Neaimeh, 2024. "Do higher global oil and wheat prices matter for the wheat flour price in Lebanon?," Agricultural Economics, International Association of Agricultural Economists, vol. 55(4), pages 559-571, July.
  17. Benk, Szilard & Gillman, Max, 2023. "Identifying money and inflation expectation shocks to real oil prices," Energy Economics, Elsevier, vol. 126(C).
  18. Gründler, Daniel & Scharler, Johann, 2025. "Does uncertainty amplify the inflation pass-through of gasoline price shocks?," Energy Economics, Elsevier, vol. 144(C).
  19. Kilian, Lutz & Inoue, Atsushi, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," CEPR Discussion Papers 15545, C.E.P.R. Discussion Papers.
  20. Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021. "Identification and Inference Under Narrative Restrictions," Papers 2102.06456, arXiv.org.
  21. Kilian, Lutz, 2025. "Impulse response diagnostics for priors on parameters in structural vector autoregressions," Economics Letters, Elsevier, vol. 253(C).
  22. Finck, David & Tillmann, Peter, 2023. "The macroeconomic effects of global supply chain disruptions," IMFS Working Paper Series 178, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  23. Finck, David & Tillmann, Peter, 2022. "The macroeconomic effects of global supply chain disruptions," BOFIT Discussion Papers 14/2022, Bank of Finland Institute for Emerging Economies (BOFIT).
  24. Lutz Kilian & Nikos Nomikos & Xiaoqing Zhou, 2023. "A Quantitative Model of the Oil Tanker Market in the Arabian Gulf," The Energy Journal, , vol. 44(5), pages 95-114, September.
  25. Kilian, Lutz & Zhou, Xiaoqing, 2023. "Oil Price Shocks and Inflation," CEPR Discussion Papers 18416, C.E.P.R. Discussion Papers.
  26. Robin Braun, 2023. "The importance of supply and demand for oil prices: Evidence from non‐Gaussianity," Quantitative Economics, Econometric Society, vol. 14(4), pages 1163-1198, November.
  27. Zitha, N.B. & Kau, J.S. & Mazwane, S. & Senyolo, G.M., 2023. "The resilience of South African maize industry, in a world of market disruptions: ECM application," 2023 Seventh AAAE/60th AEASA Conference, September 18-21, 2023, Durban, South Africa 364837, African Association of Agricultural Economists (AAAE).
  28. Stefano Neri, 2025. "Energy prices, inflation and the ECB's monetary policy during the 2021-22 energy crisis," Temi di discussione (Economic working papers) 1481, Bank of Italy, Economic Research and International Relations Area.
  29. Bingchun Liu & Xia Zhang & Yuan Gao & Minghui Xu & Xiaobo Wang, 2025. "China’s Energy Stock Price Index Prediction Based on VECM–BiLSTM Model," Energies, MDPI, vol. 18(5), pages 1-21, March.
  30. Gründler, Daniel, 2024. "Does the inflation pass-through of gasoline price shocks depend on the level of inflation?," Economics Letters, Elsevier, vol. 243(C).
  31. Lukas Berend & Jan Pruser, 2025. "Large structural VARs with multiple linear shock and impact inequality restrictions," Papers 2505.19244, arXiv.org, revised Jul 2025.
  32. Ding, Shusheng & Wang, Anqi & Cui, Tianxiang & Du, Anna Min & Zhou, Xinmiao, 2024. "Commodity market stability and sustainable development: The effect of public health policies," Research in International Business and Finance, Elsevier, vol. 70(PB).
  33. Bastianin, Andrea & Rossini, Luca & Testa, Alessandra, 2026. "Industrial Metal Supply Shocks and Heterogeneous Macroeconomic Effects: Evidence from Copper," FEEM Working Papers 387620, Fondazione Eni Enrico Mattei (FEEM).
  34. Kilian, Lutz & Zhou, Xiaoqing, 2022. "Oil prices, exchange rates and interest rates," Journal of International Money and Finance, Elsevier, vol. 126(C).
  35. Paul Carrillo‐Maldonado, 2023. "Partial identification for growth regimes: The case of Latin American countries," Metroeconomica, Wiley Blackwell, vol. 74(3), pages 557-583, July.
  36. Kilian, Lutz, 2024. "How to construct monthly VAR proxies based on daily surprises in futures markets," Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
  37. Diab, Sara & Karaki, Mohamad B., 2023. "Do increases in gasoline prices cause higher food prices?," Energy Economics, Elsevier, vol. 127(PB).
  38. Bruns, Martin, 2021. "Proxy Vector Autoregressions in a Data-rich Environment," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
  39. Max Breitenlechner & Martin Geiger & Daniel Gründler & Johann Scharler, 2024. "Sequencing the COVID‐19 Recession in the USA: What Were the Macroeconomic Drivers?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 119-136, February.
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