Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki

doi:10.1016/j.jjie.2011.07.004

Cited by 225 publications

(138 citation statements)

References 27 publications

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“…Pioneered by Cogley and Sargent (2005) and Primiceri (2005), TVP-VARs with stochastic volatility have recently become of increasing interest for economists (Baumeister et al, 2008;Benati, 2008;Benati and Surico, 2008;Canova and Gambetti, 2009;Clark and Terry, 2010;Fern andez-Villaverde and Rubio-Ramírez, 2010;Franta, 2011;Mumtaz et al, 2011;Nakajima, 2011;Nakajima et al, 2011;Baumeister and Benati, 2013;Prieto et al, 2013).…”

Section: The Econometric Modelmentioning

confidence: 99%

The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?

Bijsterbosch

Falagiarda

2015

Journal of International Money and Finance

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Section: The Econometric Modelmentioning

confidence: 99%

The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?

Bijsterbosch

Falagiarda

2015

Journal of International Money and Finance

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“…Below in Tables 3 and 4 we show for each parameter the convergence diagnostic (CD) of Geweke (1992). The CD is a comparison between the …rst draws (10000) and the last draws (50,000), dropping out the middle Geweke, 1992 andNakajima et al, 2011). The convergence diagnostic (CD) is computed by n 0 draws and the last n 1 draws, dropping out the middle draws.…”

Section: Resultsmentioning

confidence: 99%

Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models

Bekiros

Paccagnini

2014

Computational Statistics & Data Analysis

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Publication information Computational Statistics and Data Analysis, 71 : 298-323Publisher Elsevier Item record/more information http://hdl.handle.net/10197/7322 Publisher's statementThis is the author's version of a work that was accepted for publication in Computational Statistics and Data Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Computational Statistics and Data Analysis (VOL 71, ISSUE March 2014, (2014 AbstractAdvanced Bayesian methods are employed in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be taken directly to the data and often yield weak prediction results. Hybrid models can deal with some of the DSGE model misspeci…cations. Major advances in Bayesian estimation methodology could allow these models to outperform well-known time series models and e¤ectively deal with more complex real-world problems as richer sources of data become available. A comparative evaluation of the out-of-sample predictive performance of many di¤erent speci…cations of estimated DSGE models and various classes of VAR models is performed, using datasets from the US economy. Simple and hybrid DSGE models are implemented, such as DSGE-VAR and Factor Augmented DSGEs and tested against standard, Bayesian and Factor Augmented VARs. Moreover, small scale models including the real gross domestic product, the harmonized consumer price index and the nominal short-term federal funds interest rate, are comparatively assessed against medium scale models featuring additionally sticky nominal prices, wage contracts, habit formation, variable capital utilization and investment adjustment costs. The investigated period spans 1960:Q4 to 2010:Q4 and forecasts are produced for the out-of-sample testing period 1997:Q1-2010:Q4. This comparative validation can be useful to monetary policy analysis and macro-forecasting with the use of advanced Bayesian methods.

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“…The existing studies sometimes call this situation "dynamic inefficiency," and it is said that the economy is sustainable when dynamic inefficiency holds, even when the government is running a deficit. 6 For the monetary policy regime, Inoue and Okimoto (2008) and Nakajima et al (2011) find some structural changes in the late 1990s. Ko and Murase (2013) also find changing dynamics in the labor market and the macro-economy.…”

Section: Estimation Methodologymentioning

confidence: 99%

Fiscal sustainability and regime shifts in Japan

Morita

2015

Economic Modelling

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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Cited by 225 publications

References 27 publications

The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?

The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?

Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models

Fiscal sustainability and regime shifts in Japan

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