Detecting Time Variation in the Price Puzzle: An Improved Prior Choice for Time Varying Parameter VAR Models

Reusens, Peter; Croux, Christophe

doi:10.2139/ssrn.2548960

Cited by 3 publications

(1 citation statement)

References 53 publications

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“…In this paper, we show that the hyperparameters influence estimation outcomes for the class of models we consider and standard sample sizes available for macroeconomic analysis. This echoes the results in Reusens & Croux (2017), who carry out an extensive Monte Carlo study of prior sensitivity using a VAR with time-varying parameters but no stochastic volatility.…”

Section: Introductionsupporting

confidence: 77%

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

Amir-Ahmadi

Matthes

Wang

2018

Journal of Business & Economic Statistics

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Section: Introductionsupporting

confidence: 77%

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

Amir-Ahmadi

Matthes

Wang

2018

Journal of Business & Economic Statistics

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Testing for time variation in an unobserved components model for the U.S. economy

Berger

Everaert

Vierke

2016

Journal of Economic Dynamics and Control

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Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Geraci

Gnabo²

2015

SSRN Journal

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We propose a market-based framework that exploits time-varying parameter vector autoregressions to estimate the dynamic network of financial spillover effects. We apply it to financials in the Standard & Poor's 500 index and estimate interconnectedness at the sector and institution level. At the sector level, we uncover two main events in terms of interconnectedness: the Long Term Capital Management crisis and the 2008 financial crisis. After these crisis events, we find a gradual decrease in interconnectedness, not observable using the classical rolling window approach. At the institution level, our framework delivers more stable interconnectedness rankings over time than other market-based measures of systemic risk. Keywords

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Detecting Time Variation in the Price Puzzle: An Improved Prior Choice for Time Varying Parameter VAR Models

Cited by 3 publications

References 53 publications

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

Testing for time variation in an unobserved components model for the U.S. economy

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

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