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Bayesian Vars A Survey of the Recent Literature with An Application to the European Monetary System

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative prio...

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Bibliographic Details
Main Author: Ciccarelli, Matteo
Other Authors: Rebucci, Alessandro
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2003
Series:IMF Working Papers
Subjects:
International Finance
Econometrics
Estimation
Estimation Techniques
Econometric Analysis
Monetary Systems
Short Term Interest Rates
Econometrics & Economic Statistics
Micro Finance Institutions
Financial Services
Dynamic Quantile Regressions
Bayesian Inference
Interest Rates: Determination, Term Structure, And Effects
Banks And Banking
Mortgages
Time-series Models
Government And The Monetary System
Dynamic Treatment Effect Models
Money And Monetary Policy
Central Banks And Their Policies
Banks
Depository Institutions
Money
Banking
Finance
Econometric Models
Bayesian Analysis: General
Vector Autoregression
Regimes
Payment Systems
Bayesian Models
Standards
State Space Models
Diffusion Processes
Interest Rates
Monetary Economics
Simulation Methods
Spain
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative priors. We then discuss extensions of the basic model and address issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how some of the results previously presented may be applied in practice
Physical Description:44 pages
ISBN:9781451852639

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