Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Jouchi Nakajima, Munehisa Kasuya and Toshiaki Watanabe

Journal of the Japanese and International Economies, 2011, vol. 25, issue 3, 225-245

Abstract: This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals 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 fixed parameter VAR models are estimated for model comparison. 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; Stochastic; volatility; Time-varying; parameter; vector; autoregressive; model (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (144)

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Related works:
Working Paper: Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy (2009)
Working Paper: Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:25:y:2011:i:3:p:225-245

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