Un Gran VAR Bayesiano para la Economía Chilena

Wildo Gonzalez P. (wildogonzalez@yahoo.com)

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This article develops a large Bayesian VAR with more than 100 variables for the Chilean economy, as Banbura, Giannone and Reichlin (2010). We show that, when the degree of shrinkage is set in relation to the cross-sectional dimension of the sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and sectoral information. The results show that the large bayesian VAR compares favorably with some univariate models. It further examines the impulse responses to a monetary shock, as well as to some sectoral shocks.

Date: 2012-01
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Journal Article: Un Gran VAR Bayesiano para la Economia Chilena (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:653

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