BVAR models with economic priors: An application to the propagation of U.S. regional cycles to Canada

Racette, Daniel; Raynauld, Jacques

doi:10.1007/bf01205823

Cited by 3 publications

(2 citation statements)

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“…Racette and Raynauld (1994) and Raynauld (1988) use VARs to compare Canadian regional responses to exogenous changes in the U.S. economy, but they focus only on employment shocks rather than specifically examining the response to monetary policy. Debendictus (1997) uses a VAR to analyze Canadian regional activity but focuses solely on British Columbia and only includes Canadian variables in the model.…”

Section: Literature Reviewmentioning

confidence: 99%

Variations Across Canadian Regions in the Sensitivity to U.S. Monetary Policy

Potts

Yerger

2010

Atl Econ J

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Section: Literature Reviewmentioning

confidence: 99%

Variations Across Canadian Regions in the Sensitivity to U.S. Monetary Policy

Potts

Yerger

2010

Atl Econ J

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“…In this case, the coefficients are assumed to evolve according to a stochastic dynamics and the model is given a statespace representation that can be estimated using the Kalman filter methodology. Under the conditions of linear measurement and transition equations and of Gaussian noises, the Kalman filter represents a Bayesian process of revision of parameters as new information is available (Doan et al, 1984;Racette and Raynauld, 1994). This approach is consistent with the ERET, according to which changes in the cost/aversion ratio allow forecasters to revise the amount of information of each type and therefore to choose the appropriate trading rule.…”

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confidence: 95%

Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data

Prat

Uctum

2015

Applied Economics

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we first show that expectations fail the conventional tests of unbiasedness and do not exhibit a learning process towards rationality. Our approach is consistent with the economically rational expectations theory (Feige and Pearce, 1976), which states that information costs and agents' aversion to misestimating future exchange rates determine the optimal amounts of information on which they base their expectations. The time variability of the cost/aversion ratios justifies at the aggregate level a representation of expectations as a linear combination of the traditional extrapolative, adaptive and regressive processes augmented by a forward market component, whose parameters are allowed to change over time. This mixed expectation model with unstable heterogeneity is validated by our Kalman filter estimation results for the two currencies and the two horizons considered. Although the relative importance of the 'fundamentalists' ('chartists') is found to increase (decrease) with the time-horizon, chartist behaviour appears to dominate fundamentalist behaviour for both horizons. Central bank intervention is then effective in stabilizing the foreign exchange markets if it encourages fundamentalist activity.

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Generalizing the Bayesian Vector Autoregression Approach for Regional Interindustry Employment Forecasting

Partridge

Rickman²

1998

Journal of Business & Economic Statistics

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BVAR models with economic priors: An application to the propagation of U.S. regional cycles to Canada

Cited by 3 publications

References 21 publications

Variations Across Canadian Regions in the Sensitivity to U.S. Monetary Policy

Variations Across Canadian Regions in the Sensitivity to U.S. Monetary Policy

Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data

Generalizing the Bayesian Vector Autoregression Approach for Regional Interindustry Employment Forecasting

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