Bayesian vector autoregressions

Silvia Miranda-Agrippino and Giovanni Ricco ()

No 756, Bank of England working papers from Bank of England

Abstract: This article reviews Bayesian inference methods for vector autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

Keywords: Monetary policy; local projections; VARs; expectations; information rigidity; survey forecasts; external instruments (search for similar items in EconPapers)
JEL-codes: C30 C32 (search for similar items in EconPapers)
Pages: 66 pages
Date: 2018-09-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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https://www.bankofengland.co.uk/-/media/boe/files/ ... F8D2D4321C8CB6D43F91 Full text (application/pdf)

Related works:
Working Paper: Bayesian Vector Autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian Vector Autoregressions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0756

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