Structural Panel Bayesian VAR with Multivariate Time-varying Volatility to jointly deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues

Antonio Pacifico

MPRA Paper from University Library of Munich, Germany

Abstract: This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and structural changes. Bayesian methods are used to select the best model solution for examining if international spillovers come from multivariate volatility, time variation, or contemporaneous relationship. An empirical application among Central-Eastern and Western Europe economies is conducted to describe the performance of the methodology, with particular emphasis on the Great recession and post-crisis periods. Findings from evidence-based forecasting are also addressed to evaluate the impact of an ongoing pandemic crisis on the global economy.

Keywords: Structural Panel VAR; Bayesian Methods; Multivariate Volatility; Policy Regime Shifts Endogeneity Issues; Central-Eastern and Western Europe. (search for similar items in EconPapers)
JEL-codes: C1 C5 E6 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac, nep-ore and nep-tra
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Forthcoming in Econometrics Computational Econometrics and Finance.NA(2021): pp. 1-34

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:104292

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