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  1. Management practices and takeover decisions
    Autor*in: Delēs, Manthos D.; Kazakis, Pantelis; Zopounidis, Constantin
    Erschienen: [2021]
    Verlag:  [Adam Smith Business School], [Glasgow]

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    Schriftenreihe: Working paper series / University of Glasgow, Adam Smith Business School ; paper no. 2021,10 (June 2021)
    Schlagworte: OR in corporate finance; Management practices; Bayesian methods; mergers and acquisitions; nonlinear models
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Searching for hysteresis
    Autor*in: Benati, Luca; Lubik, Thomas A.
    Erschienen: [2021]
    Verlag:  Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics, Bern, Switzerland

    Taking as data-generation process a standard DSGE model, we show via Monte Carlo that reliably detecting hysteresis, defined as the presence of aggregate demand shocks with a permanent impact on output, is a significant challenge, as model-consistent... mehr

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    Taking as data-generation process a standard DSGE model, we show via Monte Carlo that reliably detecting hysteresis, defined as the presence of aggregate demand shocks with a permanent impact on output, is a significant challenge, as model-consistent identification schemes (i) spuriously detect it with non-negligible probability when in fact the data-generation process features none, and (ii) have a low power to discriminate between alternative extents of hysteresis. We propose a simple approach to test for the presence of hysteresis, and to estimate its extent, based on the notion of simulating specific statistics (e.g., the fraction of frequency-zero variance of GDP due to hysteresis shocks) conditional on alternative values of hysteresis we impose upon the VAR, and then comparing the resulting Monte Carlo distributions to the corresponding distributions computed based on the actual data via the Kullback-Leibler divergence. Based on two alternative identification schemes, evidence suggests that post-WWII U.S. data are compatible with the notion of no hysteresis, although the most plausible estimate points towards a modest extent, equal to 7 per cent of the frequency-zero variance of GDP.

     
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    Schriftenreihe: Discussion papers / Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics ; 21, 07 (May, 2021)
    Schlagworte: Hysteresis; permanent shocks; long-run restrictions; sign restrictions; Bayesian methods; Kullback-Leibler divergence
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  3. Using time-varying volatility for identification in vector autoregressions
    an application to endogenous uncertainty
    Autor*in: Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E.
    Erschienen: 08 July 2021
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP16346
    Schlagworte: Endogeneity; Causality; stochastic volatility; Bayesian methods
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  4. Searching for hysteresis
    Autor*in: Benati, Luca; Lubik, Thomas A.
    Erschienen: 2021
    Verlag:  The Federal Reserve Bank of Richmond, Richmond

    We search for the presence of hysteresis, which we define as aggregate demand shocks that have a permanent impact on real GDP, in the U.S., the Euro Area, and the U.K. Working with cointegrated structural VARs, we find essentially no evidence of such... mehr

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    We search for the presence of hysteresis, which we define as aggregate demand shocks that have a permanent impact on real GDP, in the U.S., the Euro Area, and the U.K. Working with cointegrated structural VARs, we find essentially no evidence of such effects. Within a Classical statistical framework, it is virtually impossible to detect such shocks. Within a Bayesian context, the presence of these shocks can be mechanically imposed upon the data. However, unless a researcher is willing to impose the restriction that the sign of their long-run impact on GDP is the same for all draws, which amounts to imposing the very existence of hysteresis effects, the credible set of the permanent impact uniformly contains zero. We detect some weak evidence only for the U.K., originating from an increase in labor force participation and a fall in the unemployment rate.

     
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    Schriftenreihe: Working paper series / The Federal Reserve Bank of Richmond ; WP 21, 03
    Schlagworte: Bayesian methods; transitory shocks; GDP growth
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  5. Big data forecasting of South African inflation
    Autor*in: Botha, Byron; Burger, Rulof; Kotzé, Kevin; Rankin, Neil; Steenkamp, Daan
    Erschienen: 22 February 2022
    Verlag:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    Schriftenreihe: South African Reserve Bank working paper series ; WP, 22, 01
    Schlagworte: Micro-data; Inflation; High dimensional regression; Penalised likelihood; Bayesian methods; Statistical learning
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  6. Big data forecasting of South African inflation
    Autor*in: Botha, Byron; Burger, Rulof; Kotze, Kevin; Rankin, Neil; Steenkamp, Daan
    Erschienen: February 2022
    Verlag:  Economic Research Southern Africa, [Cape Town]

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    Schriftenreihe: ERSA working paper ; 873
    Schlagworte: Micro-data; Inflation; High dimensional regression; Penalised likelihood; Bayesian methods; Statistical learning
    Umfang: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  7. Quarterly GDP estimates for the German states
    Autor*in: Lehmann, Robert; Wikman, Ida
    Erschienen: April 2022
    Verlag:  ifo Institute - Leibniz Institute for Economic Research at the University of Munich, Munich, Germany

    To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2020, thereby improving the regional database in Germany. The new... mehr

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    To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2020, thereby improving the regional database in Germany. The new data set will regularly be updated when quarterly economic growth for Germany becomes available. We use the new data for an in-depth business cycle analysis and find large heterogeneities in the duration and amplitudes of state-specific business cycles as well as in the degrees of cyclical concordance.

     
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    hdl: 10419/251987
    Schriftenreihe: Ifo working papers ; 370 (2022)
    Schlagworte: Regional economic activity; mixed-frequency vectorautoregression; regional business cycles; concordance; Bayesian methods
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  8. Reconciled estimates of monthly GDP in the US
    Autor*in: Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Schriftenreihe: Federal Reserve Bank of Cleveland working paper series ; no. 22, 01 (January 2022)
    Schlagworte: Mixed frequency; Vector autoregressions; Bayesian methods; Nowcasting; Business cycles; National accounts
    Umfang: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  9. The macroeconomic effects of falling long-term inflation expectations
    Autor*in: Neri, Stefano
    Erschienen: [2021]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1357 (December 2022)
    Schlagworte: long-term inflation expectations; monetary policy; VAR; Bayesian methods
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  10. Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates
    Autor*in: Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Schriftenreihe: Federal Reserve Bank of Cleveland working paper series ; no. 22, 06 (March 2022)
    Schlagworte: Regional data; Mixed frequency; Nowcasting; Bayesian methods; Real-time data; Vector autoregressions
    Umfang: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  11. Specification choices in quantile regression for empirical macroeconomics
    Autor*in: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Schriftenreihe: Federal Reserve Bank of Cleveland working paper series ; no. 22, 25 (August 2022)
    Schlagworte: Quantile regression; tail forecasting; shrinkage; Bayesian methods; quantile scores
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  12. Estimating the output gap after COVID
    an application to Colombia
    Autor*in: Granados, Camilo; Parra-Amado, Daniel
    Erschienen: [2023]
    Verlag:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion... mehr

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    This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion with an identification setup based on a permanent-transitory decomposition that exploits the long-run relationship of consumption with output whose residuals are scaled up around the COVID-19 period. Our results indicate that (i) a single structural error is sufficient to explain the permanent component of the gross domestic product (GDP); (ii) the adjusted method allows for the incorporation of the COVID-19 period without assuming sudden changes in the modelling setup after the pandemic; and (iii) the proposed adjustment generates approximation improvements relative to standard filters or similar models with no adjustments or alternative ones, but where the specific rare observations are not known. Importantly, abstracting from any adjustment may lead to over- or underestimating the gap, too-quick gap recoveries after downturns, or too-large volatility around the median potential output estimations.

     
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    hdl: 10419/278388
    Schriftenreihe: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2023, 04
    Schlagworte: Bayesian methods; business cycles; potential output; output gaps; structural estimation
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  13. Quarterly GDP estimates for the German States
    new data for business cycle analyses and long-run dynamics
    Autor*in: Lehmann, Robert; Wikman, Ida
    Erschienen: February 2023
    Verlag:  CESifo, Munich, Germany

    To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The... mehr

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    To date, only annual information on economic activity is published for the 16 German states. In this paper, we calculate quarterly regional GDP estimates for the period between 1995 to 2021, thereby improving the regional database for Germany. The new data set will regularly be updated when quarterly economic growth for Germany becomes available. We use the new data for an in-depth business cycle analysis and to estimate long-run growth dynamics. The business cycle analysis reveals large heterogeneities in the duration and amplitudes of state-specific fluctuations as well as in the degrees of cyclical concordance. Long-run trends are found to vary tremendously, with positive developments in economically strong regions and flat or even negative trends for economically much weaker states.

     
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    hdl: 10419/271924
    Schriftenreihe: CESifo working papers ; 10280 (2023)
    Schlagworte: regional economic activity; mixed-frequency Vector Autoregression; regional business cycles; concordance; Bayesian methods
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  14. Specification choices in quantile regression for empirical macroeconomics
    Autor*in: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Erschienen: 09 March 2024
    Verlag:  Centre for Economic Policy Research, London

    Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for... mehr

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    Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for macro applications, for example, choices related to how and to what extent to include shrinkage, and whether to apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, using for evaluation both quantile scores and quantile-weighted continuous ranked probability scores at a range of quantiles spanning from the left to right tail. Across a range of applications, we find that shrinkage is generally helpful to quantile forecast accuracy, with Bayesian quantile regression dominating frequentist quantile regression.

     
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    Schriftenreihe: Array ; DP18901
    Schlagworte: Quantile regression; tail forecasting; shrinkage; Bayesian methods; quantile scores
    Umfang: 1 Online-Ressource (circa 108 Seiten), Illustrationen
  15. Estimating the output gap after Covid: how to address unprecedented macroeconomic variations
    Autor*in: Granados, Camilo; Parra-Amado, Daniel
    Erschienen: [2023]
    Verlag:  Banco de la Republica Colombia, Bogotá, Colombia

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    hdl: 20.500.12134/10695
    Schriftenreihe: Borradores de economía ; no.1249 (2023)
    Schlagworte: Bayesian methods; business cycles; potential output; output gaps; structural estimation
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  16. Time-varying fiscal multipliers for South Africa
    a large time-varying parameter vector autoregression approach
    Autor*in: Du Rand, Gideon; Hollander, Hylton; Van Lill, Dawie
    Erschienen: August 2023
    Verlag:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    A critical requirement for efficient fiscal policy is a reliable understanding of its impact on the aggregate economy for different policy instruments and under different economic conditions. Indeed, there is strong evidence to suggest that fiscal... mehr

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    A critical requirement for efficient fiscal policy is a reliable understanding of its impact on the aggregate economy for different policy instruments and under different economic conditions. Indeed, there is strong evidence to suggest that fiscal multipliers vary with economic conditions, the components of government decision-making that are considered, and the identification strategy and modelling approach used. Previous studies on South Africa have typically used small-scale models or constant coefficient linear settings, which do not fully capture either the disaggregated components of spending and tax revenue or the time-varying nature of fiscal multipliers. In this paper we add to the critical evaluation of these limitations by using a large time-varying parameter vector autoregression approach estimated with Bayesian methods. We argue for an agnostic approach that studies the components of aggregate output in an economy which imposes as few restrictions and assumptions as possible. We model the impact of the government-controlled components of output on all other components and present a new way of reconciling these results to aggregate results in other studies. We find multipliers at the lower end of other findings in the literature on South Africa: our estimate of the average cumulative fiscal multiplier of government consumption on output is 0.155, while that of government investment is -0.118. Our approach also casts a cautionary light on both existing research and novel methods used to measure fiscal multipliers. As a result, convincing evidence that fiscal policy can be used actively for business cycle stabilization remains elusive.

     
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    hdl: 10419/283802
    Schriftenreihe: WIDER working paper ; 2023, 106
    Schlagworte: time-varying parameter vector autoregression; fiscal multipliers; Bayesian methods; stabilization
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  17. Underlying inflation and asymmetric risks
    Autor*in: Le Bihan, Hervé; Leiva-León, Danilo; Pacce, Matías
    Erschienen: 2023
    Verlag:  Banco de España, Madrid

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    Schriftenreihe: Documentos de trabajo / Banco de España, Eurosistema ; no. 2319
    Schlagworte: underlying inflation; asymmetric risks; regime-switching; Bayesian methods
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  18. Underlying inflation and asymmetric risks
    Autor*in: Le Bihan, Hervé; Leiva-Leon, Danilo; Pacce, Matías
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is... mehr

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    We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework jointly estimated on disaggregated sub-components of the euro area HICP and has several additional advantages. First, it is able to swiftly infer abrupt changes in underlying inflation. Second, it helps to timely track turning points in underlying inflation. Third, the proposed indicator also has a satisfactory performance with respect to various criteria relevant for inflation monitoring.

     
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    Schriftenreihe: Working paper series / European Central Bank ; no 2848
    Schlagworte: underlying inflation; asymmetric risks; regime-switching; Bayesian methods
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  19. Incorporating short data into large mixed- frequency VARs for regional nowcasting
    Autor*in: Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey; Wu, Ping
    Erschienen: [2023]
    Verlag:  Department of Economics, University of Strathclyde, Glasgow

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    Schriftenreihe: Strathclyde discussion papers in economics ; no. 23, 11
    Schlagworte: Regional data; Mixed-frequency data; Missing data; Nowcasting; Factors; Bayesian methods; Real-time data; Vector autoregressions
    Umfang: 1 Online-Ressource
  20. Incorporating short data into large mixed-frequency VARs for regional nowcasting
    Autor*in: Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey; Wu, Ping
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Schriftenreihe: Federal Reserve Bank of Cleveland working paper series ; no. 23, 09 (May 2023)
    Schlagworte: Regional data; Mixed-frequency data; Missing data; Nowcasting; Factors; Bayesian methods; Real-time data; Vector autoregressions
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  21. Natural rates across the Atlantic
    Autor*in: Neri, Stefano; Gerali, Andrea
    Erschienen: [2017]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 450 (1140)
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1140 (September 2017)
    Schlagworte: natural rate of interest; monetary policy; DSGE model; Bayesian methods
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  22. Impacto de la política fiscal y monetaria en el ciclo económico de Venezuela
    un enfoque bayesiano
    Autor*in: Cartaya, Virginia; Sáez, Francisco; Bolívar, Wendy
    Erschienen: 2011
    Verlag:  Gerencia de Comunicaciones Institucionales, BCV, Caracas

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Spanisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Serie Documentos de trabajo / BCV, Banco Central de Venezuela ; 118
    Colección Economía y finanzas
    Schlagworte: economic activity; cycles of second-order Kalman Ölters; Bayesian methods; turnings points
    Umfang: Online-Ressource, graph. Darst.
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    Zsfassungen in engl. und span. Sprache
  23. Specification choices in quantile regression for empirical macroeconomics
    Autor*in: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Erschienen: 09 March 2024
    Verlag:  Centre for Economic Policy Research, London

    Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for... mehr

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    Staats- und Universitätsbibliothek Bremen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Universität Potsdam, Universitätsbibliothek
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    Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for macro applications, for example, choices related to how and to what extent to include shrinkage, and whether to apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, using for evaluation both quantile scores and quantile-weighted continuous ranked probability scores at a range of quantiles spanning from the left to right tail. Across a range of applications, we find that shrinkage is generally helpful to quantile forecast accuracy, with Bayesian quantile regression dominating frequentist quantile regression.

     
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    Sprache: Englisch
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    Schriftenreihe: Array ; DP18901
    Schlagworte: Quantile regression; tail forecasting; shrinkage; Bayesian methods; quantile scores
    Umfang: 1 Online-Ressource (circa 108 Seiten), Illustrationen
  24. Financial nowcasts and their usefulness in macroeconomic forecasting
    Autor*in: Knotek, Edward S.; Zaman, Saeed
    Erschienen: 17 Mar 2017
    Verlag:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Federal Reserve Bank of Cleveland ; 17, 02 (March 2017)
    Schlagworte: conditional forecasting; nowcasting; vector autoregressions; mixed-frequency models; Bayesian methods
    Umfang: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  25. Unconventional monetary policies and the macroeconomy
    the impact of the United Kingdom’s QE2 and Funding for Lending Scheme
    Erschienen: 2015
    Verlag:  Bank of England, London

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Staff working paper / Bank of England ; 542
    Schlagworte: Bayesian methods; large-scale asset purchases; quantitative easing; Funding for Lending Scheme; vector autoregressions; auto-regressive distributed lag
    Umfang: Online-Ressource (32 S.), graph. Darst.