Arbeitspapier
A large Bayesian VAR of the United States Economy
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the model can be used for understanding key features of the data, constructing counterfactual scenarios, and evaluating the macroeconomic environment both retrospectively and prospectively. Considering its breadth and versatility for policy applications, our modeling approach gives a reliable, reduced form alternative to structural models.
- Language
-
Englisch
- Bibliographic citation
-
Series: Staff Report ; No. 976
- Classification
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Quantitative Policy Modeling
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
-
bayesian vector autoregressions
conditional forecasts
scenario analyses
financial conditions index
- Event
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Geistige Schöpfung
- (who)
-
Crump, Richard K.
Eusepi, Stefano
Giannone, Domenico
Qian, Eric
Sbordone, Argia M.
- Event
-
Veröffentlichung
- (who)
-
Federal Reserve Bank of New York
- (where)
-
New York, NY
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Crump, Richard K.
- Eusepi, Stefano
- Giannone, Domenico
- Qian, Eric
- Sbordone, Argia M.
- Federal Reserve Bank of New York
Time of origin
- 2021
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