Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy

Jouchi Nakajima, Munehisa Kasuya and Toshiaki Watanabe
Additional contact information
Munehisa Kasuya: Research and Statistics Department, Bank of Japan (E-mail: munehisa.kasuya@boj.or.jp)
Toshiaki Watanabe: Professor, Institute of Economic Research, Hitotsubashi University, and Institute for Monetary and Economic Studies, Bank of Japan (E-mail: watanabe@ier.hit-u.ac.jp)

No 09-E-13, IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan

Abstract: This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the Japanese economy and monetary policy during the period from 1981 to 2008. The marginal likelihoods of the TVP-VAR model and other VAR models are also estimated. The estimated marginal likelihoods indicate that the TVP-VAR model best fits the Japanese economic data.

Keywords: Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Structural vector autoregressive model; Stochastic volatility; Time-varying parameter (search for similar items in EconPapers)
JEL-codes: C11 C15 E52 (search for similar items in EconPapers)
Date: 2009-05
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mac, nep-mon and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.imes.boj.or.jp/research/papers/english/09-E-13.pdf (application/pdf)

Related works:
Journal Article: Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (2011)
Working Paper: Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy (2009)
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:ime:imedps:09-e-13

Access Statistics for this paper

More papers in IMES Discussion Paper Series from Institute for Monetary and Economic Studies, Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Kinken ().