Time Varying Structural Vector Autoregressions and Monetary Policy

Review of Economic Studies - Tập 72 Số 3 - Trang 821-852 - 2005
Giorgio E. Primiceri1
1Northwestern University and NBER

Tóm tắt

Từ khóa


Tài liệu tham khảo

Bernanke, 1998, Measuring Monetary Policy, The Quarterly Journal of Economics, 113, 869, 10.1162/003355398555775

Blanchard, 2001, The Long and Large Decline in U.S. Output Volatility, Brookings Papers on Economic Activity 1, 135

Boivin, 2001, The Fed's Conduct of Monetary Policy: Has It Changed and Does It Matter?

Boivin, 2003, Has Monetary Policy Become More Effective?, 10.3386/w9459

Bullard, 2000, Determinacy, Learnability, and Monetary Policy Inertia, 10.20955/wp.2000.030

Canova, 1993, Modelling and Forecasting Exchange Rates with a Bayesian Time-Varying Coefficient Model, Journal of Economic Dynamics and Control, 17, 233, 10.1016/S0165-1889(06)80011-4

Carlin, 1995, Bayesian Model Choice via Markov Chain Monte Carlo Methods, Journal of Royal Statistical Society B, 157, 473

Carter, 1994, On Gibbs Sampling for State Space Models, Biometrika, 81, 541, 10.1093/biomet/81.3.541

Chib, 2002, Analysis of High Dimensional Multivariate Stochastic Volatility Models

Christiano, 1999, Monetary Shocks: What Have We Learned and To What End?, Handbook of Macroeconomics, 65, 10.1016/S1574-0048(99)01005-8

Ciccarelli, 2003, Measuring Contagion with a Bayesian Time-Varying Coefficient Model, 10.2139/ssrn.457531

Clarida, 2000, Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory, The Quarterly Journal of Economics, 115, 147, 10.1162/003355300554692

Cogley, 2003, How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth

Cogley, 2001, Evolving Post-World War II U.S. Inflation Dynamics, NBER Macroeconomics Annual, 331

Cogley, 2003, Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.

Cox, 1996, Multivariate Dependencies—Models, Analysis and Interpretation

Dellaportas, 2002, On Bayesian Model and Variable Selection Using MCMC, Statistics and Computing, 12, 27, 10.1023/A:1013164120801

Dempster, 1972, Covariance Selection, Biometrics, 28, 157, 10.2307/2528966

Doucet, 2001, Sequential Monte Carlo Methods in Practice, 10.1007/978-1-4757-3437-9

Favero, 2003, Macroeconomic Stability and the Preferences of the Fed. A Formal Analysis 1961–1998, Journal of Money, Credit and Banking, 35, 545, 10.1353/mcb.2003.0028

Fruhwirth-Schnatter, 1994, Data Augmentation and Dynamic Linear Models, Journal of Time Series Analysis, 15, 183, 10.1111/j.1467-9892.1994.tb00184.x

Gelman, 1995, Bayesian Data Analysis, 10.1201/9780429258411

Geweke, 1992, Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments, Bayesian Statistics, 169, 10.1093/oso/9780198522669.003.0010

Hamilton, 1989, A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica, 57, 357, 10.2307/1912559

Hanson, 2003, Varying Monetary Policy Regimes: A Vector Autoregressive Investigation

Harvey, 1994, Multivariate Stochastic Variance Models, The Review of Economic Studies, 61, 247, 10.2307/2297980

Jacquier, 1994, Bayesian Analysis of Stochastic Volatility Models, Journal of Business and Economic Statistics, 12, 371

Jacquier, 1995, Models and Priors for Multivariate Stochastic Volatility

Judd, 1998, Taylor's Rule and the Fed: 1970–1997, Economic Review, 3

Justiniano, 2004, Estimation and Model Selection in Dynamic Factor Analysis

Kim, 1999, State-Space Models with Regime Switching

Kim, 1998, Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, The Review of Economic Studies, 65, 361, 10.1111/1467-937X.00050

Leeper, 1996, What Does Monetary Policy Do?, Brookings Papers on Economic Activity 2, 1

Leeper, 2002, Modest Policy Intervention, 10.3386/w9192

Lopes, 2000, Model Uncertainty in Factor Analysis

Lubik, 2004, Testing for Indeterminacy: An Application to U.S. Monetary Policy, American Economic Review, 94 (1), 190, 10.1257/000282804322970760

Lucas, 1976, Econometric Policy Evaluation: A Critique, The Phillips Curve and Labor Markets, 19

Pinheiro, 1996, Unconstrained Parametrizations for Variance-Covariance Matrices, Statistics and Computing, 11, 289, 10.1007/BF00140873

Pourahmadi, 1999, Joint Mean-Covariance Models with Applications to Longitudinal Data: Unconstrained Parameterizations, Biometrika, 86, 677, 10.1093/biomet/86.3.677

Pourahmadi, 2000, Maximum Likelihood Estimation for Generalized Linear Models for Multivariate Normal Covariance Matrices, Biometrika, 87, 425, 10.1093/biomet/87.2.425

Raftery, 1992, How Many Iterations in the Gibbs Sampler?, Bayesian Statistics, 763, 10.1093/oso/9780198522669.003.0053

Rotemberg, 1997, An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy, NBER Macroeconomics Annual, 297

Sargan, 1983, Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle, Econometrica, 51, 799, 10.2307/1912159

Shephard, 1994, Local Scale Models: State Space Alternatives to Integrated GARCH Processes, Journal of Econometrics, 60, 181, 10.1016/0304-4076(94)90043-4

Shephard, 1994, Partial Non-Gaussian State Space, Biometrika, 81, 115, 10.1093/biomet/81.1.115

Shephard, 1996, Statistical Aspects of ARCH and Stochastic Volatility, Time Series Models in Econometrics, Finance and Other Fields, 1

Shephard, 1990, On the Probability of Estimating a Deterministic Component in the Local Level Model, Journal of Time Series Analysis, 11, 339, 10.1111/j.1467-9892.1990.tb00062.x

Sims, 1993, A 9 Variable Probabilistic Macroeconomic Forecasting Model, Business Cycles, Indicators and Forecasting, NBER Studies in Business Cycles, 28, 179

Sims, 1999, Drift and Breaks in Monetary Policy

Sims, 2000, Using a Likelihood Perspective to Sharpen Econometric Discourse: Three Examples, Journal of Econometrics, 95, 443, 10.1016/S0304-4076(99)00046-9

Sims, 2001, Stability and Instability in US Monetary Policy Behavior

Sims, 2001, Comment on Sargent and Cogley's: Èvolving Post World War II U.S. Inflation Dynamics', NBER Macroeconomics Annual, 373

Sims, 1998, Bayesian Methods for Dynamics Multivariate Models, International Economic Review, 39, 949, 10.2307/2527347

Sims, 2004, Were There Regime Switches in US Monetary Policy?

Smith, 2002, Parsimonious Covariance Matrix Estimation for Longitudinal Data, Journal of the American Statistical Association, 97, 1141, 10.1198/016214502388618942

Stock, 1996, Evidence on Structural Instability in Macroeconomic Time Series Relations, Journal of Business and Economic Statistics, 14, 11

Stock, 1998, Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model, Journal of the American Statistical Association, 93, 349, 10.1080/01621459.1998.10474116

Stock, 2001, Vector Autoregressions, Journal of Economic Perspectives, 15, 101, 10.1257/jep.15.4.101

Stock, 2002, Has the Business Cycle Changed and Why?, 10.3386/w9127

Uhlig, 1997, Bayesian Vector Autoregressions with Stochastic Volatility, Econometrica, 65, 59, 10.2307/2171813

Uhlig, 2001, What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure

Woodford, 2001, The Taylor Rule and Optimal Monetary Policy, American Economic Review, 91, 232, 10.1257/aer.91.2.232

Woodford, 2003, Interest and Prices: Foundations of a Theory of Monetary Policy