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Displaying results 1 to 9 of 9.

  1. DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation
    Author: Filippeli, Thomai; Harrison, Richard; Theodoridis, Konstantinos
    Published: March 2018
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 716
    Subjects: BVAR; DSGE; DSGE-VAR; Gibbs sampling; marginal likelihood evaluation; predictive likelihood evaluation; quasi-Bayesian DSGE estimation
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. Spillover effects of ECB policies in a SoE framework
    Author: Hoda, Bledar
    Published: March 27, 2023
    Publisher:  Bank of Albania, [Tirana]

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789928262
    Series: Working paper / Bank of Albania ; 04 = 91 (2023)
    Subjects: Unconventional Monetary Policy; BVAR; block exogeneity; Albania
    Scope: 1 Online-Ressource (circa 80 Seiten)
  3. Shedding lights on leaning against the wind
    Author: Vassalli, Federica; Tancioni, Massimiliano
    Published: [2023]
    Publisher:  Sapienza università di Roma, Roma

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Latest version: January 10, 2023
    Series: Working paper / Department of Economics and Law, Sapienza University of Rome ; no. 234 (January 2023)
    Subjects: Monetary Policy; Bubbles; LAW; BVAR
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. Improving inference and forecasting in VAR models using cross-sectional information
    Author: Prüser, Jan; Blagov, Boris
    Published: 2022
    Publisher:  RWI - Leibniz-Institut für Wirtschaftsforschung, Essen, Germany

    We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 10
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    We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of countries. We demonstrate the usefulness of our approach via a Monte Carlo study and use our model to capture the hidden homo- and heterogeneities of the euro area member states. Combining pairwise pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. Wir entwickeln einen Prior für VAR-Modelle, der die Panel-Struktur makroökonomischer Zeitreihen berücksichtigt und gleichzeitig eine Schrumpfung gegen Null vorsieht, um Bedenken hinsichtlich eines Overfitting zu begegnen. Der Prior ist flexibel, da er die gemeinsame Dynamik einzelner Variablen in endogen bestimmten Ländergruppen erkennt. Wir demonstrieren die Vorteile unseres Ansatzes anhand einer Monte-Carlo-Studie und verwenden unser Modell, um die verborgenen Homo- und Heterogenitäten der Mitgliedstaaten des Euroraums zu erfassen. Die Kombination von paarweisem Pooling mit Nullschrumpfung liefert eine schärfere Parameterinferenz, die Punkt- und Dichteprognosen im Vergleich zu reinen Nullschrumpfungs- oder reinen Pooling-Spezifikationen verbessert, und hilft bei der Strukturanalyse, indem sie die Schätzunsicherheit verringert.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783969731246
    Other identifier:
    hdl: 10419/264396
    Series: Ruhr economic papers ; #960
    Subjects: BVAR; shrinkage; forecasting; structural analysis
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  5. Response of inflation to the climate stress: evidence from Azerbaijan
    Author: Yusifzada, Tural
    Published: 2022
    Publisher:  Central Bank of the Republic of Azerbaijan, [Baku]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers series / Central Bank of the Republic of Azerbaijan ; No. 2022, 02
    Subjects: inflation; climate; fossil fuel; green energy; BVAR; forecasting
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  6. An alternative approach to estimation of the probability of default for commercial entities: the modified KMV Merton model
    Author: Njeru, Andrew Kioi
    Published: [2019]
    Publisher:  Kenya Bankers Association, Nairobi

    We carry out an empirical test of KMV model for using private companies that are not listed on a stock exchange and in doing so, substitute book values for market values and fluctuations of bank account balances for volatility of stock prices. This... more

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    We carry out an empirical test of KMV model for using private companies that are not listed on a stock exchange and in doing so, substitute book values for market values and fluctuations of bank account balances for volatility of stock prices. This study reveals a surprising effectiveness of the KMV model and its applicability for estimating probability of default for companies that are not listed on a stock exchange but only with a modification to adopt the actual observed asset growth of the company reported in the books of accounts instead of using the risk-free rate. The adoption of the bank balances as a proxy for the asset volatility has also performed well. One other finding is that the only three companies that had material exposure and defaulted did not have the up-to-date audited books of accounts. We could therefore not test the effectiveness of the KMV model because the three had no up to date books of accounts. This makes one to conclude that absence of audited book of accounts for a significant borrower is a major negative signal that a company is likely to default. This is more significant for larger companies who have a legal requirement to prepare the audited financial statements and the absence may be inferred to as a signal of inability to conclude the closure books of accounts with external auditors due to doubts about going concern.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/249533
    Series: KBA Centre for Research on Financial Markets and Policy working paper series ; WPS, 19, 02 = 32
    Subjects: Spillover; Commercial banks; BVAR; Shocks; Volatility
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  7. Intra-market linkages in the financial sector and their effects on financial inclusion
    Author: Lidiema, Caspah
    Published: September 2018
    Publisher:  Kenya Bankers Association, Nairobi

    Purpose: This paper examined Financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and capital Markets) in Kenya and the impact of this... more

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    Purpose: This paper examined Financial intra-market linkages (dynamic relationship and volatility spillovers) effects between the Commercial banks and other financial sector segments (Insurance and capital Markets) in Kenya and the impact of this transmission on Financial Inclusion. Method: This study evaluates the effect of intra-market linkages on financial inclusion using Bayesian Vector Autoregressive (BVAR) using monthly data from Kenyan market during the period January 2004 - December 2016. Impulse-response analysis and forecast error variance decomposition was used to investigate this intra-market linkages and their causal effect to financial inclusion. Findings: Results indicate that there is significant market interactions and interlinkages with significant shocks transmission moving from banks to other markets. Interest rates shocks transmission affected all markets. This means that monetary policy transmission as expected trickles down to the entire financial sector. The study also found out that, Positive shocks from credit impacts positively on lending rate and the capital markets performance implying banking mechanism to reward increased loan uptake at cheaper prices and hence creating cash flow that spills over to more investment on the securities exchange. Policy recommendation: The study recommends that policy makers to design policies that help minimize the adverse impact of volatility/shocks but create opportunities for growth on each market o foster price stability and increase investments through financial inclusion.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/249529
    Series: KBA Centre for Research on Financial Markets and Policy working paper series ; WPS, 18, 06 = 28
    Subjects: Spillover; Commercial banks; BVAR; Shocks; Volatility
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  8. A BVAR model for forecasting Ukrainian inflation
    Author: Shapovalenko, Nadiia
    Published: March 2021
    Publisher:  Graduate Institute of International and Development Studies, International Economics Department, Geneva, Switzerland

    In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with steady-state prior and compare the accuracy of the forecasts against the forecasts of QPM model and official NBU forecasts over the period... more

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    In this paper, I examine the forecasting performance of a Bayesian Vector Autoregression (BVAR) model with steady-state prior and compare the accuracy of the forecasts against the forecasts of QPM model and official NBU forecasts over the period 2016q1-2020q1. My findings suggest that inflation forecasts produced by the BVAR model are more accurate than those of the QPM model two quarters ahead and are competitive for the longer horizon. For GDP growth, the forecasts of the BVAR outperform those of the QPM for the whole forecast horizon. For inflation they also outperform the official NBU forecasts over the monetary policy horizon, whereas the opposite is true for the forecasts of the GDP growth.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/238096
    Series: Working paper series / Graduate Institute of International and Development Studies, International Economics Department ; no. HEIDWP2021, 05
    Subjects: BVAR; forecast evaluation; inflation forecasting
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  9. A news-based policy index for Italy
    expectations and fiscal policy
    Author: Fantozzi, Daniela; Muscarnera, Alessio
    Published: [2021]
    Publisher:  CEIS Tor Vergata, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 665
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CEIS Tor Vergata research paper series ; vol. 19, issue 3 = no. 509 (March 2021)
    Subjects: News-based index; Textual data; Text mining; Fiscal foresight; Agents’ expectations; BVAR
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen