Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model

Massimiliano Marcellino, Claudia Foroni, Roberto Casarin and Francesco Ravazzolo

No 12339, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We propose a Bayesian panel model for mixed frequency data, where parameters can change over time according to a Markov process. Our model allows for both structural instability and random effects. To estimate the model, we develop a Markov Chain Monte Carlo algorithm for sampling from the joint posterior distribution of the model parameters, and we test its properties in simulation experiments. We use the model to study the effects of macroeconomic uncertainty and ï¬ nancial uncertainty on a set of variables in a multi-country context including the US, several European countries and Japan. We ï¬ nd that for most of the variables ï¬ nancial uncertainty dominates macroeconomic uncertainty. Furthermore, we show that the effects of uncertainty differ whether the economy is in a contraction regime or in an expansion regime.

Keywords: Dynamic panel model; Mixed-frequency; Markov switching; Bayesian inference; Mcmc (search for similar items in EconPapers)
JEL-codes: C13 C14 C51 C53 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP12339 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:12339

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP12339

Access Statistics for this paper

More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK.
Bibliographic data for series maintained by CEPR ().