C11

Bayesian Analysis

Monetary Transmission Mechanism and Time Variation in the Euro Area

JEL codes: 
C11, C32, C33, E50
Version Date: 
Nov 2012
Author/s: 
Abstract: 

This paper examines the monetary transmission mechanism in the euro area for the period of single monetary policy using factor-augmented vector autoregressive (FAVAR) techniques. The contributions of the paper are fourfold. First, a novel dataset consisting of 120 disaggregated macroeconomic time series spanning the period 1999:M1 through 2011:M12 is gathered for the euro area as an aggregate.

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Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage

JEL codes: 
C11, C32, C53
Version Date: 
Jan 2012
Author/s: 
Abstract: 

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for
VAR shrinkage. DAELasso achieves data selection and coefficients shrinkage in a data based manner.
It constructively deals with the explanatory variables that tend to be highly collinear by encouraging

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Autoregressions in Small Samples, Priors about Observables and Initial Conditions

JEL codes: 
C11, C22, C32
Version Date: 
Sep 2010
Abstract: 

We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series.

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What’s News in Business Cycles

JEL codes: 
C11, C51, E13, E32
Version Date: 
Feb 2009
Abstract: 

In this paper, we perform a structural Bayesian estimation of the contribution of anticipated shocks to business cycles in the postwar United States. Our theoretical framework is a real-business-cycle model augmented with four real rigidities: investment adjustment costs, variable capacity utilization, habit formation in consumption, and habit formation in leisure.

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Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model

JEL codes: 
C11, C15, E31, E32, E52
Version Date: 
Jun 2007
Abstract: 

We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference compared to the estimation of the linearised model.

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Evaluating An Estimated New Keynesian Small Open Economy Model

JEL codes: 
C11, C53, E17
Version Date: 
Dec 2006
Abstract: 

This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for a discrete break in the central bank's instrument rule.

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Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model: What is Important and What is Not

JEL codes: 
C11, F41
Version Date: 
Oct 2006
Author/s: 
Abstract: 

Central puzzles in international macroeconomics are why fluctuations of the real exchange rate are so volatile with respect to other macroeconomic variables, and the contradiction of efficient risk-sharing. Several theoretical contributions have evaluated alternative forms of pricing under nominal rigidities along with different asset markets structures to explain real exchange dynamics.

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On the Fit and Forecasting Performance of New Keynesian Models

JEL codes: 
C11, C32, C53
Version Date: 
Dec 2004
Author/s: 
Abstract: 

The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR), and then systematically relax the implied cross-equation restrictions.

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Model-based Clustering of Multiple Time Series

JEL codes: 
C11, C33, E32
Version Date: 
Aug 2004
Abstract: 

We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest estimating the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods.

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Has the Transmission Mechanism of European Monetary Policy Changed in the Run-Up to EMU?

JEL codes: 
C11, C33, E52
Version Date: 
Aug 2004
Abstract: 

This Paper studies empirically the transmission mechanism of European monetary policy by means of time-varying, heterogenous coefficient models estimated in a numerical Bayesian fashion.

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