Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?

Olfa Kaabia, Ilyes Abid and Khaled Guesmi

Economic Modelling, 2013, vol. 31, issue C, 423-432

Abstract: We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis. Considering a large database containing national macroeconomic, financial, and trade dynamic variables for 17 OECD countries, we evaluate forecasting accuracy, and perform a structural analysis exercise using VAR models of different sizes: a standard VAR estimated by OLS and a MEDIUM and LARGE VARs estimated by a Bayesian shrinkage procedure.

Keywords: Contagion; Subprime crisis; OECD housing markets; VAR/BVAR models; Bayesian shrinkage (search for similar items in EconPapers)
JEL-codes: C11 C32 F47 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis? (2013)
Working Paper: Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis? (2012)
Working Paper: Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:31:y:2013:i:c:p:423-432

DOI: 10.1016/j.econmod.2012.12.008

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