Monetary Policy and Time Varying Parameter Vector Autoregression Model

Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

This note corrects a mistake in the estimation algorithm of the time-varying structural vector autoregression model of Primiceri (2005) and proposes a new algorithm that correctly applies the procedure proposed by Kim, Shephard, and Chib (1998) to the estimation of VAR or DSGE models with stochastic volatility. Relative to Primiceri (2005), the correct algorithm involves a different ordering of...

A Time-Varying Parameter Vector Autoregression Model for Forecasting Emerging Market Exchange Rates

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a blend of the flexible least squares and Kalman filter techniques. The out-of-sample forecasting perf...

Time-Varying Monetary Policy Reaction Function: The Case of Iran

time-varying monetary policy reaction function: the case of iran

Modeling Monetary Policy Dynamics: A Comparison of Regime Switching and Time Varying Parameter Approaches

Structural VAR models have been widely used to model monetary policy dynamics. Typically, a choice is made between regime-switching models and time-varying parameter models. In this paper we use a canonical model of monetary policy and estimate both types of time variation in monetary policy while also allowing for changing variances. The models are compared using marginal likelihood and foreca...