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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 976
- Klassifikation
-
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
- Thema
-
bayesian vector autoregressions
conditional forecasts
scenario analyses
financial conditions index
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Crump, Richard K.
Eusepi, Stefano
Giannone, Domenico
Qian, Eric
Sbordone, Argia M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Crump, Richard K.
- Eusepi, Stefano
- Giannone, Domenico
- Qian, Eric
- Sbordone, Argia M.
- Federal Reserve Bank of New York
Entstanden
- 2021
Ähnliche Objekte (12)
Forecasting exchange rates with a large Bayesian VAR
Measuring dynamic connectedness with large Bayesian VAR models
Large Bayesian VARs
Nowcasting the Finnish economy with a large Bayesian vector autoregressive model
Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach
Bayesian forecast combination for VAR models
Bayesian Forecast Combination for VAR Models
Large-scale Bayesian network structure learning
Large-Scale Bayesian Network Structure Learning
Nowcasting with large Bayesian vector autoregressions
Fast Bayesian hyperparameter optimization on large datasets
A Bayesian look at new open economy
Forecasting exchange rates with a large Bayesian VAR
Measuring dynamic connectedness with large Bayesian VAR models
Large Bayesian VARs
Nowcasting the Finnish economy with a large Bayesian vector autoregressive model
Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach
Bayesian forecast combination for VAR models
Bayesian Forecast Combination for VAR Models
Large-scale Bayesian network structure learning
Large-Scale Bayesian Network Structure Learning
Nowcasting with large Bayesian vector autoregressions
Fast Bayesian hyperparameter optimization on large datasets
A Bayesian look at new open economy
Forecasting exchange rates with a large Bayesian VAR
Measuring dynamic connectedness with large Bayesian VAR models
Large Bayesian VARs
Nowcasting the Finnish economy with a large Bayesian vector autoregressive model
Monetary transmission mechanism in a small open economy: A Bayesian structural VAR approach
Bayesian forecast combination for VAR models
Bayesian Forecast Combination for VAR Models
Large-scale Bayesian network structure learning
Large-Scale Bayesian Network Structure Learning
Nowcasting with large Bayesian vector autoregressions
Fast Bayesian hyperparameter optimization on large datasets