Search Results

Showing results 1 to 3 of approximately 3.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Bayesian VARs 

Working Paper
Measuring Uncertainty and Its Effects in the COVID-19 Era

We measure the effects of the COVID-19 outbreak on macroeconomic and financial uncertainty, and we assess the consequences of the latter for key economic variables. We use a large, heteroskedastic vector autoregression (VAR) in which the error volatilities share two common factors, interpreted as macro and financial uncertainty, in addition to idiosyncratic components. Macro and financial uncertainty are allowed to contemporaneously affect the macroeconomy and financial conditions, with changes in the common component of the volatilities providing contemporaneous identifying information on ...
Working Papers , Paper 202032

Working Paper
Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

Incoming data in 2020 posed sizable challenges for the use of VARs in economic analysis: Enormous movements in a number of series have had strong effects on parameters and forecasts constructed with standard VAR methods. We propose the use of VAR models with time-varying volatility that include a treatment of the COVID extremes as outlier observations. Typical VARs with time-varying volatility assume changes in uncertainty to be highly persistent. Instead, we adopt an outlier-adjusted stochastic volatility (SV) model for VAR residuals that combines transitory and persistent changes in ...
Working Papers , Paper 202102

Working Paper
Measuring Uncertainty and Its Impact on the Economy

We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with errors whose stochastic volatility is driven by two common unobservable factors, representing aggregate macroeconomic and financial uncertainty. The uncertainty measures can also influence the levels of the variables so that, contrary to most existing measures, ours reflect changes in both the conditional mean and volatility of the variables, and their impact on the economy can be assessed within the same framework. Moreover, identification of the uncertainty shocks is ...
Working Papers (Old Series) , Paper 1622

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Jel Classification

C11 2 items

C55 2 items

E44 2 items

C13 1 items

C33 1 items

C53 1 items

show more (5)

FILTER BY Keywords

Bayesian VARs 3 items

stochastic volatility 3 items

pandemics 2 items

COVID-19 1 items

forecasts 1 items

large datasets 1 items

show more (2)

PREVIOUS / NEXT