Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters write by Michael Pfarrhofer. This book was released on 2019. Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters available in PDF, EPUB and Kindle. This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is constructed endogenously by estimating a scalar driving the innovation variances of the latent factors, and is included also in the mean of the process. To achieve regularization, we use Bayesian techniques for estimation, and introduce a set of hierarchical global-local shrinkage priors. The adopted priors center the model on a constant parameter specification with homoscedastic errors, but allow for time-variation if suggested by likelihood information. Moreover, we assume coefficients across economies to be similar, but provide sufficient flexibility via the hierarchical prior for country-specific idiosyncrasies. The results point towards pronounced real and financial effects of uncertainty shocks in all countries, with differences across economies and over time.
Handbook of Financial Integration
Handbook of Financial Integration - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Handbook of Financial Integration write by Guglielmo M. Caporale. This book was released on 2024-05-02. Handbook of Financial Integration available in PDF, EPUB and Kindle. This comprehensive Handbook deftly examines key aspects of financial integration, providing an overview of contemporary research and new perspectives. Employing state of the art econometric methods to obtain new empirical evidence, it will be critical for designing optimal policies, and appropriate investment and risk management strategies.
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Bayesian Multivariate Time Series Methods for Empirical Macroeconomics write by Gary Koop. This book was released on 2010. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics available in PDF, EPUB and Kindle. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Oil Price Uncertainty
Oil Price Uncertainty - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Oil Price Uncertainty write by Apostolos Serletis. This book was released on 2012. Oil Price Uncertainty available in PDF, EPUB and Kindle. The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.
Macroeconomic Forecasting in the Era of Big Data
Macroeconomic Forecasting in the Era of Big Data - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Macroeconomic Forecasting in the Era of Big Data write by Peter Fuleky. This book was released on 2019-11-28. Macroeconomic Forecasting in the Era of Big Data available in PDF, EPUB and Kindle. This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
