Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System

Author/Editor:

Matteo Ciccarelli ; Alessandro Rebucci

Publication Date:

May 1, 2003

Electronic Access:

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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.

Series:

Working Paper No. 2003/102

Subject:

Banking Bayesian models Econometric analysis Estimation techniques Financial services Monetary systems Money Short term interest rates Vector autoregression

English

Publication Date:

May 1, 2003

ISBN/ISSN:

9781451852639/1018-5941

Stock No:

WPIEA1022003

Pages:

44

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