Search Results

Time-varying dynamics of the real exchange rate. A structural VAR analysis,
Haroon Mumtaz and Laura Sunder-Plassmann, from Bank of England (2010)
Keywords: Real exchange rate; time-varying VAR; sign restrictions; Bayesian estimation

Large time-varying parameter VARs: a non-parametric approach,
George Kapetanios, Massimiliano Marcellino and Fabrizio Venditti, from Bank of Italy, Economic Research and International Relations Area (2017)
Keywords: large VARs, time-varying parameters, non-parametric estimation, forecasting

Beveridge Curve Shifts and Time-Varying Parameter VARs,
Thomas Lubik, Christian Matthes and Andrew Owens, in Economic Quarterly (2016)
Keywords: labor markets; TVP-VAR; Beveridge curve; time-varying parameter vector-autoregressions

DeepTVAR: Deep learning for a time-varying VAR model with extension to integrated VAR,
Xixi Li and Jingsong Yuan, in International Journal of Forecasting (2024)
Keywords: Dependence modeling; Time-varying VAR; Causality condition; Deep learning; Energy price forecasting;

Inflation Contagion Effects in the Baltic Countries: A Time-varying Coefficients VAR with Stochastic Volatility Analysis,
Bogdan Dima, Ştefana Maria Dima and Flavia Barna, in Journal for Economic Forecasting (2019)
Keywords: Baltic countries; inflation; Time-Varying Coefficients VAR; stochastic volatility

A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States,
Sune Karlsson and Pär Österholm, in Economics Letters (2020)
Keywords: Unemployment; GDP growth; Bayesian VAR; Time-varying parameters; Model selection;

Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area,
Stelios Bekiros, in Economic Modelling (2014)
Keywords: Kalman filter; Bayesian VAR; Time-varying parameters; Forecasting;

Large mixed-frequency VARs with a parsimonious time-varying parameter structure,
Thomas Götz and Klemens Hauzenberger, from Deutsche Bundesbank (2018)
Keywords: Mixed Frequencies, Time-Varying Intercepts, Common Stochastic Volatility, Bayesian VAR, Forecasting

Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models,
Maddalena Cavicchioli, in Computational Economics (2020)
Keywords: State-space models, Time-varying DSGE, Changes in regime, Markov-switching DSGE, VAR representations

A Time-Varying Parameter VAR Investigation of the Exchange Rate Pass-Through in Turkey,
Abdurrahman Nazif Çatık, Mehmet Karacuka and Barış Gök, in Panoeconomicus (2016)
Keywords: Exchange rate pass-through, Wholesale prices, Consumer prices, Time-varying parameter VAR, Turkey

Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system,
Jing Zhao, in Resources Policy (2023)
Keywords: Natural resources prices; Hybrid TVP-VAR model; Geopolitical risks; Large TVP-VAR system; Time-varying analysis;

Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models,
Stelios Bekiros and Alessia Paccagnini, from Department of Research, Ipag Business School (2014)
Keywords: Model validation, Forecasting, Factor Augmented DSGE, Time-varying parameter VAR, DGSE-VAR, Bayesian analysis

Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models,
Stelios Bekiros and Alessia Paccagnini, from University of Milano-Bicocca, Department of Economics (2013)
Keywords: Model validation, Forecasting, Factor Augmented DSGE, Time-varying parameter VAR, DGSE-VAR, Bayesian analysis

Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR,
Michael Ellington, Chris Florackis and Costas Milas, from Rimini Centre for Economic Analysis (2016)
Keywords: Stock Market Liquidity, House Market Liquidity, Liquidity Shocks, Time-varying Parameter VAR

Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR,
Michael Ellington, Chris Florackis and Costas Milas, in Journal of International Money and Finance (2017)
Keywords: Stock market liquidity; House market liquidity; Liquidity shocks; Time-varying parameter VAR;

Revisiting Exchange Rate Shocks on Macroeconomic Variables in China using Time-Varying VAR Model,
Mohsen Bahmani-Oskoee, Yifei Cai, Tsangyao Chang and Shanshan Liu, in The Economics and Finance Letters (2022)
Keywords: Macroeconomic variables, Time-varying VAR, 3D impulsive function, Exchange rate shocks, China.

The impact of monetary policy and exchange rate shocks in Poland: evidence from a time-varying VAR,
Olga Arratibel and Henrike Michaelis, from European Central Bank (2014)
Keywords: Bayesian time-varying parameter VAR, exchange rate pass-through, monetary policy transmission

The Impact of Monetary Policy and Exchange Rate Shocks in Poland: Evidence from a Time-Varying VAR,
Olga Arratibel and Henrike Michaelis, from University of Munich, Department of Economics (2013)
Keywords: Bayesian time-varying parameter VAR; monetary policy transmission; exchange rate passthrough

Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets,
Sanvi Avouyi-Dovi, C. Labonne, Rémy Lecat and S. Ray, from Banque de France (2017)
Keywords: housing bubble; housing credit; housing demand; housing supply; time-varying VAR, stochastic volatility

Nonparametric Estimation and Testing for Time-Varying VAR Models,
Jiti Gao, Bin Peng and Yayi Yan, from Monash University, Department of Econometrics and Business Statistics (2022)
Keywords: Time-varying impulse response, parameter stability, instrumental variable approach

Estimating overidentified, non-recursive, time varying coefficients structural VARs,
Fabio Canova and Pérez Forero, Fernando J., from C.E.P.R. Discussion Papers (2014)
Keywords: Identification restrictions; Metropolis algorithm; Monetary transmission mechanism.; Time-varying coefficient structural var models

Time-Varying Effects of Changes in the Interest Rate and the RMB Exchange Rate on the Stock Market of China: Evidence from the Long-Memory TVP-VAR Model,
Cao Guangxi, in Emerging Markets Finance and Trade (2012)
Keywords: impulse response, long memory, long-term equilibrium relationship, time-varying, TVP-VAR

Electricity supply shocks and economic growth across the US states: evidence from a time-varying Bayesian panel VAR model, aggregate and disaggregate energy sources,
Nicholas Apergis and Michael Polemis, from University Library of Munich, Germany (2018)
Keywords: Time-varying coefficient Bayesian panel VAR; electricity shocks; macroeconomic performance; impulse responses functions; US states.

Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model,
Esra Balli, Nazif Catik and Jeffrey Nugent, in Energy (2021)
Keywords: Trade balance; Current account balance; Oil shocks; Time-varying parameter vector autoregression (TVP-VAR); Stochastic volatility; China; Russia;

Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data,
Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis and Mark Wohar, in Empirical Economics (2020)
Keywords: Time-varying VAR, House prices, Macroeconomic shocks

Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK: Evidence from Over 150 Years of Data,
Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis and Mark Wohar, from University of Pretoria, Department of Economics (2017)
Keywords: time-varying VAR, house prices, macroeconomic shocks

Large hybrid time-varying parameter VARs,
Joshua Chan, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019)
Keywords: large vector autoregression, time-varying parameter, stochastic volatility, trend output growth, macroeconomic forecasting

Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS,
Marco Valerio Geraci and Jean-Yves Gnabo, from ULB -- Universite Libre de Bruxelles (2015)
Keywords: financial interconnectedness; time-varying parameter; granger causality

Estimating a Time-Varying Distribution-Led Regime,
Paul Carrillo-Maldonado and Michalis Nikiforos, in Structural Change and Economic Dynamics (2024)
Keywords: Wage-led; Profit-led; Distribution; Growth; Time-Varying Parameters (VAR);

Mortgage Debt and Time-Varying Monetary Policy Transmission,
David Finck, Joerg Schmidt and Peter Tillmann, from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) (2018)
Keywords: mortgage debt, monetary policy, deleveraging, time-varying VAR, DSGE

Estimating a Time-Varying Distribution-Led Regime,
Paul Carrillo-Maldonado and Michalis Nikiforos, from Levy Economics Institute (2022)
Keywords: Wage-led; Profit-led; Distribution; Growth; Time-Varying Parameters (VAR)

Real-Time Forecasting Using Mixed-Frequency VARS with Time-Varying Parameters,
Markus Heinrich and Magnus Reif, from CESifo (2020)
Keywords: time-varying parameters, forecasting, nowcasting, mixed-frequency models, Bayesian methods

The time varying effect of oil price shocks on euro-area exports,
Marianna Riggi and Fabrizio Venditti, in Journal of Economic Dynamics and Control (2015)
Keywords: Oil prices; VAR; Time-varying parameters; Exports;

The time varying effect of oil price shocks on euro-area exports,
Marianna Riggi and Fabrizio Venditti, from Bank of Italy, Economic Research and International Relations Area (2015)
Keywords: oil prices, VAR, time-varying parameters, exports

Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues,
Antonio Pacifico, in Econometrics (2021)
Keywords: structural panel VAR; Bayesian methods; multivariate time-varying volatility; change-points; endogeneity issues; Central-Eastern and Western Europe

Impact of Globalization on Macroeconomic Dynamics Using a Time-varying Bayesian VAR,
Georgiana Pleșa, in Prague Economic Papers (2024)
Keywords: globalization, time-varying vector autoregressive, Bayesian estimation, inflation

Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR,
Haroon Mumtaz, from Bank of England (2010)
Keywords: FAVAR; great stability; time-varying parameters; stochastic volatility

The case for Divisia monetary statistics: A Bayesian time-varying approach,
Michael Ellington, in Journal of Economic Dynamics and Control (2018)
Keywords: Time-varying parameter VAR; Frequency domain; Divisia money; Monetary policy;

The effects of uncertainty measures on commodity prices from a time-varying perspective,
Jianbai Huang, Yingli Li, Hongwei Zhang and Jinyu Chen, in International Review of Economics & Finance (2021)
Keywords: Uncertainty measures; Commodity prices; TVP-VAR model; Time-varying effects;

Real estate illiquidity and returns: A time-varying regional perspective,
Michael Ellington, Xi Fu and Yunyi Zhu, in International Journal of Forecasting (2023)
Keywords: Real estate; Liquidity; Forecasting; Time-varying parameter VAR; Network connections;

Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models,
Rick Bohte and Luca Rossini, in JRFM (2019)
Keywords: Bayesian VAR; cryptocurrency; Bitcoin; forecasting; density forecasting; time-varying volatility

Changing impact of shocks: a time-varying proxy SVAR approach,
Haroon Mumtaz and Katerina Petrova, from Queen Mary University of London, School of Economics and Finance (2018)
Keywords: Time-Varying parameters, Stochastic volatility, Proxy VAR, tax shocks

Explaining the time-varying effects of oil market shocks on US stock returns,
Claudia Foroni, Pierre Guérin and Massimiliano Marcellino, in Economics Letters (2017)
Keywords: Stock returns; Oil market shocks; Time-varying parameter VAR;

Real and Nominal Effects of Monetary Shocks under Time-Varying Disagreement,
Vania Esady, from CESifo (2019)
Keywords: time-varying disagreement, monetary policy, threshold VAR, rational inattention

Trade linkages and growth in Latin America: A time-varying SVAR approach,
Diego Winkelried and Miguel Saldarriaga, from Banco Central de Reserva del Perú (2012)
Keywords: Latin America, China, trade linkages, time-varying structural VAR

The Japanese Quantitative Easing Policy under Scrutiny: A Time-Varying Parameter Factor-Augmented VAR Model,
Zakaria Moussa, from University Library of Munich, Germany (2010)
Keywords: Time varying parameters; Factor-Augmented VAR; Japan; Quantitative Easing; Transmission channels

The Time-Varying Effect of Interest Rates on Housing Prices,
Cheonjae Lee and Jinbaek Park, in Land (2022)
Keywords: housing prices; interest rate; time-varying effect; real estate market; TVP-VAR (time-varying parameter vector autoregressive model)

Large mixed-frequency VARs with a parsimonious time-varying parameter structure,
Thomas B Götz and Klemens Hauzenberger, in The Econometrics Journal (2021)
Keywords: Bayesian methods, time-varying intercepts, common stochastic volatility, forecasting, real-time data, COVID-19 case study

On Time-Varying VAR models: Estimation, Testing and Impulse Response Analysis,
Yayi Yan, Jiti Gao and Bin Peng, from Monash University, Department of Econometrics and Business Statistics (2021)
Keywords: multivariate dynamic time series, time-varying impulse response, testing for parameter stability

Forecasting crude oil real prices with averaging time-varying VAR models,
Krzysztof Drachal, in Resources Policy (2021)
Keywords: Bayesian models; Dynamic model averaging; Oil prices; Time-varying parameters; Vector AutoRegression;

Malthus was right: new evidence from a time-varying VAR,
Alexander Rathke and Samad Sarferaz, from Institute for Empirical Research in Economics - University of Zurich (2010)
Keywords: Industrial revolution, Malthusian trap, time-varying vector autoregression, unified growth theory

Malthus and the Industrial Revolution: Evidence from a Time-Varying VAR,
Alexander Rathke and Samad Sarferaz, from CESifo (2014)
Keywords: industrial revolution, Malthusian trap, time-varying vector autoregression, Unified Growth Theory

Estimating overidentified, nonrecursive, time-varying coefficients structural VARs,
Fabio Canova and Fernando Pérez Forero, from Department of Economics and Business, Universitat Pompeu Fabra (2012)
Keywords: Non-recursive overidentified SVARs, Time-varying coefficient models, Bayesian methods, Monetary transmission mechanism

Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs,
Fabio Canova and Fernando Pérez Forero, from Barcelona School of Economics (2012)
Keywords: Non-recursive overidentified SVARs, Time-varying coefficient models, Bayesian methods, Monetary transmission mechanism

Analyzing time-varying volatility spillovers between the crude oil markets using a new method,
Tangyong Liu and Xu Gong, in Energy Economics (2020)
Keywords: Volatility spillovers; Time-varying; TVP-VAR-SV model; Crude oil;

International Transmission of Macroeconomic Uncertainty in China: A Time-varying Bayesian Global SVAR Approach,
Wongi Kim, in East Asian Economic Review (2024)
Keywords: Uncertainty; International Transmission; Time-varying Parameter; Bayesian Global VAR; China

Time-varying effects of oil price shocks on financial stress: Evidence from India,
B. Anand, Sunil Paul and Aswathi R. Nair, in Energy Economics (2023)
Keywords: Crude oil; Financial stress index; Time-varying VAR;

Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment,
Giovanni Bonaccolto, Massimiliano Caporin and Matteo Iacopini, in Energy Economics (2024)
Keywords: Quantile VAR; Time-varying parameters; Kalman filter; Starting values;

The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?,
Sune Karlsson and Pär Österholm, in Economics Letters (2020)
Keywords: Bayesian VAR; Time-varying parameters; Stochastic volatility; Model selection;

Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?,
Jean-Pierre Allegret, Cécile Couharde, Valérie Mignon and Tovonony Razafindrabe, from University of Paris Nanterre, EconomiX (2015)
Keywords: oil currencies, oil shocks, Time-Varying Parameter VAR model.

Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?,
Jean-Pierre Allegret, Cécile Couharde, Valérie Mignon and Tovonony Razafindrabe, from HAL (2015)
Keywords: oil currencies, oil shocks, Time-Varying Parameter VAR model.

Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters,
Alina Barnett, Haroon Mumtaz and Konstantinos Theodoridis, from Bank of England (2012)
Keywords: Time-varying parameters; stochastic volatility; VAR; FAVAR; forecasting; Bayesian estimation

Globalization and Inflation: Evidence from a Time Varying VAR,
Francesco Bianchi and Andrea Civelli, in Review of Economic Dynamics (2015)
Keywords: Globalization; Inflation; Time-variation; VAR

Using VARs and TVP-VARs with Many Macroeconomic Variables,
Gary Koop, in Central European Journal of Economic Modelling and Econometrics (2012)
Keywords: Bayesian VAR; forecasting; time-varying coefficients; state-space model

Using VARs and TVP-VARs with Many Macroeconomic Variables,
Gary Koop, from Scottish Institute for Research in Economics (SIRE) (2013)
Keywords: Bayesian VAR, forecasting, time-varying coefficients, state-space model,

Using VARs and TVP-VARs with Many Macroeconomic Variables,
Gary Koop, from University of Strathclyde Business School, Department of Economics (2013)
Keywords: Bayesian VAR; forecasting; time-varying coefficients; state-space model

Spillover Effects of US Monetary Policy and Macreconomic Conditions in Nigeria: Evidence from Time-Varying Parameter Structural Vector Autoregression (TVP-SVAR),
Saba Ndayezhin Danladi, in International Journal of Economics & Business Administration (IJEBA) (2022)
Keywords: Spillovers effects, monetary policy, macroeconomic conditions, time-varying parameter VAR.

Has Monetary Policy Become More Aggressive, But Less Effective Over Time?,
Tuan Phan, from University Library of Munich, Germany (2016)
Keywords: monetary policy, monetary transmission, Time-Varying VAR

Oil shocks and the UK economy: the changing nature of shocks and impact over time,
Stephen Millard and Tamarah Shakir, from Bank of England (2013)
Keywords: Oil price shocks; time-varying parameter VARs

Are determinants of portfolio flows always the same? - South African results from a time varying parameter VAR model,
Haakon Kavli and Nicola Viegi, from University Library of Munich, Germany (2015)
Keywords: Portfolio flows, emerging markets, South Africa, time varying VAR

Estimating US fiscal and monetary interactions in a time varying VAR,
Eddie Gerba and Klemens Hauzenberger, from London School of Economics and Political Science, LSE Library (2013)
Keywords: time varying parameter VAR; sign restrictions; Markov-Chain Monte Carlo; US economic structure; fiscal transmission channel

Estimating US Fiscal and Monetary Interactions in a Time Varying VAR,
Eddie Gerba and Klemens Hauzenberger, from School of Economics, University of Kent (2013)
Keywords: time varying parameter VAR; sign restrictions; Markov-Chain Monte Carlo; US economic structure; fiscal transmission channel

The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR,
Philip Liu, Haroon Mumtaz and Angeliki Theophilopoulou, in Journal of International Money and Finance (2014)
Keywords: International transmission; FAVAR; Time-varying parameters;

Changes in the transmission of monetary policy: evidence from a time-varying factor-augmented VAR,
Christiane Baumeister, Philip Liu and Haroon Mumtaz, from Bank of England (2010)
Keywords: FAVAR; time-varying parameters; monetary transmission

Mitigating the impact of a pandemic: a time-varying-parameter structural VAR (TVP-SVAR) and time-varying granger causality estimations,
Olumide O. Olaoye and Mulatu F. Zerihun, in African Journal of Economic and Management Studies (2023)
Keywords: Macroeconomic shock, Fiscal policy, Inflation, Output, Time-varying structural vector autoregressive model (TVSVAR) and Granger causality, Asymmetry

Forecasting with High-Dimensional Panel VARs,
Gary Koop and Dimitris Korobilis, from University Library of Munich, Germany (2018)
Keywords: Panel VAR, inflation forecasting, Bayesian, time-varying parameter model

Forecasting with High-Dimensional Panel VARs,
Gary Koop and Dimitris Korobilis, from Rimini Centre for Economic Analysis (2018)
Keywords: Panel VAR, inflation forecasting, Bayesian, time-varying parameter model

Forecasting with High-Dimensional Panel VARs,
Gary Koop and Dimitris Korobilis, from University of Essex, Essex Business School (2018)
Keywords: Panel VAR; inflation forecasting; Bayesian; time-varying parameter model

Forecasting With High Dimensional Panel VARs,
Gary Koop and Dimitris Korobilis, from Business School - Economics, University of Glasgow (2015)
Keywords: Panel VAR, inflation forecasting, Bayesian, time-varying parameter model

Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models,
Liudas Giraitis, George Kapetanios and Tony Yates, from Queen Mary University of London, School of Economics and Finance (2015)
Keywords: Kernel estimation, Time-varying VAR, Structural change, Monetary policy shock

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology,
Peter Julian Cayton and Dennis Mapa, from University Library of Munich, Germany (2012)
Keywords: Time Varying Parameters; GARCH models; Nonnormal distributions; Risk Management

Have Standard VARs Remained Stable since the Crisis?,
Knut Are Aastveit, Andrea Carriero, Todd Clark and Massimiliano Marcellino, from Federal Reserve Bank of Cleveland (2014)
Keywords: Bayesian VARs; Forecasting; Time-varying parameters; Stochastic volatility

Have standard VARs remained stable since the crisis?,
Knut Are Aastveit, Andrea Carriero, Todd Clark and Massimiliano Marcellino, from Norges Bank (2014)
Keywords: Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Estimating Time-Varying Networks for High-Dimensional Time Series,
Jia Chen, Degui Li, Yuning Li and Oliver B. Linton, from Faculty of Economics, University of Cambridge (2022)
Keywords: CLIME, Factor model, Granger causality, lasso, local linear smoothing, partial correlation, time-varying network, VAR

Estimating Time-Varying Networks for High-Dimensional Time Series,
Jia Chen, Degui Li, Yuning Li and Oliver B. Linton, from Faculty of Economics, University of Cambridge (2022)
Keywords: CLIME, Factor model, Granger causality, lasso, local linear smoothing, partial correlation, time-varying network, VAR

International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy,
Philip Liu, Haroon Mumtaz and Angeliki Theophilopoulou, from Bank of England (2011)
Keywords: Factor augmented VAR; Time-variation; Gibbs sampling.

Impact of Fiscal Policy on Consumption and Labor Supply under a Time-Varying Structural VAR Model,
Rozina Shaheen, in Economies (2019)
Keywords: fiscal policy; private consumption; labor market; time-varying parameters

Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis,
Zhifang He, in The North American Journal of Economics and Finance (2023)
Keywords: Geopolitical risk; Investor sentiment; TVP-VAR; Time-varying impact;

The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis,
Luigi Infante, Francesca Lilla and Francesco Vercelli, from Bank of Italy, Economic Research and International Relations Area (2023)
Keywords: households' financial savings, COVID-19, outliers, time-varying VAR

Time-varying interactions between geopolitical risks and renewable energy consumption,
Yifei Cai and Yanrui Wu, in International Review of Economics & Finance (2021)
Keywords: Renewable energy consumption; Geopolitical risk; Time-varying parameter VAR model; Robustness checks;