Arbeitspapier

Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs

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Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A reference prior distribution with an optional small open economy effect is proposed and a Gibbs sampler is derived for a straightforward evaluation of the posterior distribution. The methods are used to analyze the effects of monetary policy in Sweden.

Language
Englisch

Bibliographic citation
Series: ECB Working Paper ; No. 296

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
Monetary Policy
Subject
Counterfactual experiments
Impulse responses
monetary policy
Structural
Vector autoregression

Event
Geistige Schöpfung
(who)
Villani, Mattias
Warne, Anders
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2003

Handle
Last update
10.03.2025, 11:43 AM CET

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Object type

  • Arbeitspapier

Associated

  • Villani, Mattias
  • Warne, Anders
  • European Central Bank (ECB)

Time of origin

  • 2003

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