We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities across cross-sectional units. The resulting BMA framework can find a parsimonious PVAR specification, t...

This paper revisits the well-known vector autoregressive (VAR) evidence on real effects of uncertainty shocks by Bloom (2009, https://doi.org/10.3982/ECTA6248). We replicate results in a narrow sense using EViews. In wide sense, we extend his study working with smooth transition VAR framework that allows for business cycle-dependent macroeconomic responses to an shock. find significantly strong...

Central banks have usually employed short-term rates as the main instrument of monetary policy. In last decades, however, forward guidance has also become a central tool. This paper combines two sources extraneous information - high frequency surprises and narrative evidence with sign restrictions in structural vector autoregressive (VAR) model to disentangle from conventional Results show that...

Petroleum and natural gas, which are among the most used energy sources in world, have a significant impact on financial markets macroeconomic indicators as they raw materials many fields. For this reason, Russia, Turkey, Brazil, India, importers developing countries, may be affected positively or negatively by changes prices. The main purpose of research is to investigate relationship between ...

Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified and estimated to construct forecasts. As the potential number of lags included is large, we compare ful...

We develop a global vector autoregressive model GVAR to analyze macroeconomic shock transmission among the East African Community countries. The results suggest that there is a signi…cant growth and in‡ation shock transmissions from Kenya to the rest of the member countries while the transmission in the opposite direction is insigni…cant. The macroeconomic shocks are re‡ected more on prices tha...

In this study, we introduce a mixed copula-based vector autoregressive (VAR) model for investigating the relationship between random variables. The one-step maximum likelihood estimation is used to obtain point estimates of parameters and copula parameters. More specifically, combine likelihoods marginal construct full function. simulation study confirm accuracy as well reliability proposed mod...

One of the most challenging problems in econometrics is the prediction of turning points in financial time series. We compare ARMAand Vector-Autoregressive (VAR-) models by examining their abilities to predict turning points in monthly time series. An approach proposed by Wecker[1] and enhanced by Kling[2] forms the basis to explicitly incorporate uncertainty in the forecasts by producing proba...