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Bayesian VARs: A Survey of the Recent Literature with an Application to the European Monetary System

Author/Editor: Ciccarelli, Matteo | Rebucci, Alessandro
Authorized for Distribution: May 1, 2003
Electronic Access: Free Full Text (PDF file size is 1,439KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

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.
 
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Series: Working Paper No. 03/102
Subject(s): Economic models | European Monetary System
Author's keyword(s): Bayesian VAR | Gibbs sampling | Time-Varying Reaction Function | EMS
 
English  
    Published:   May 1, 2003        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA1022003   Pages:   44
    Price:   US$15.00 (Academic Rate: US$15.00 )
       
     
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