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Searched for VAR-Modell.
Found 16 results.
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Found 16 results.
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Publications // 15.04.2016
procedure called NMPC to solve our models variants for out-of-steady-state dynamics. We empirically explore deflationary trends in Europe and employ a Global VAR (GVAR) model for a large euro area macro data [...] to estimate the impact of deflation on output. Moreover, we use a four variable Multi-Regime VAR (MRVAR) model with regime dependent IRs to study deflationary as well as well as the financial risk drivers [...] and downward spirals in the presence of regime-dependent macro feedback loops, using a theoretical model with decentralized matching mechanisms on both labor and financial markets. To explore the amplifying
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Publications // 25.01.2016
Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters. In particular, we augment the vector of dependent [...] dependent variables by their survey nowcasts, and claim that each variable modelled in the VAR and its nowcast are likely to depend in a similar way on the lagged dependent variables. In an application [...] n to macroeconomic data, we find that the forecasts obtained from a VAR fitted by our new shrinkage approach typically yield smaller mean squared forecast errors than the forecasts obtained from a range
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