LARGE BAYESIAN VECTOR AUTO REGRESSIONS

被引：594

作者：

Banbura, Marta ^{[2
]}

Giannone, Domenico ^{[3
,4
]}

Reichlin, Lucrezia ^{[1
,4
]}

机构：

[1] London Business Sch, London NW1 4SA, England

[2] European Cent Bank, Frankfurt, Germany

[3] ECARES, Brussels, Belgium

[4] CEPR, London, England

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2010年 / 25卷 / 01期

关键词：

MONETARY-POLICY SHOCKS; DYNAMIC-FACTOR MODEL; LARGE NUMBER; EURO AREA;

D O I：

10.1002/jae.1137

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamics models. We build on the results of De Mol and co-workers (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional macroeconomic variables and sectoral information. In addition, we show that large VARS with shrinkage produce credible impulse responses and are suitable for structural analysis. (C) 2009 John Wiley & Sons. Ltd

引用

页码：71 / 92

页数：22

共 38 条

[1]

[Anonymous], 2005, 114 NBER

[2]

[Anonymous], 2004, NBER MACROECONOMCICS

[3] Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach [J].