Arbeitspapier
Streamlining time-varying VAR with a factor structure in the parameters
I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of the proposed sampler to well distinguish between time-varying and constant parameters. In an application with Swiss data the model proves useful to capture changes in the economy's dynamics due to the lower bound on nominal interest rates.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 19.03
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Monetary Policy
- Thema
-
Bayesian VAR
time-varying parameter
dimension reduction
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Beyeler, Simon
- Ereignis
-
Veröffentlichung
- (wer)
-
Swiss National Bank, Study Center Gerzensee
- (wo)
-
Gerzensee
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 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
- Beyeler, Simon
- Swiss National Bank, Study Center Gerzensee
Entstanden
- 2019
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