In the assessment of governments’ fiscal performance, exchange rates play some roles while capital movements could serve as determinant discipline. This study examined effects rate devaluation, and inflows, on budgetary spending, interactions among variables using Bayesian vector autoregression (BVAR) sys-generalized method moments (GMM) estimators with 1,184 panel observations. The covers 37 e...

1 Chris Laing, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] 2 Alan Robinson, Southampton Institute, Technology Faculty, Southampton, SO14 0YN, UK, [email protected] Abstract  Previously it has been proposed that explanations of non-traditional withdrawal might be defined by the underlying characteristics of the teaching and learn...

This paper discusses three modelling techniques, which apply to multiple time series data that correspond to different spatial locations (spatial time series). The first two methods, namely the Space-Time ARIMA (STARIMA) and the Bayesian Vector Autoregressive (BVAR) model with spatial priors apply when interest lies on the spatio-temporal evolution of a single variable. The former is better sui...

Using a state-space system, I forecasted the US Treasury yields by employing frequentist and Bayesian methods after first decomposing of varying maturities into its unobserved term structure factors. Then, exploited model to forecast yields, compared performance each using metric - mean squared error, as loss function. Among methods, applied two-step Diebold-Li, principal components, one-step K...

This paper aims at analysing the dynamic properties of real wages over the business cycle. We apply a Bayesian vector autoregressive (BVAR) model and analyse the possible asymmetric behaviour of real wages in response to different macroeconomic shocks. Finally, we use the NBER business cycle periodisation to evaluate how real wages interact with the different shocks during contractions and boom...

In this paper we propose a method to produce density forecasts of the term structure of government bond yields which takes into account (i) the possible mispeci…cation of an underlying Gaussian A¢ ne Term Structure Model (GATSM) and (ii) the time varying volatility of interest rates. In order to do so we derive a Bayesian prior from a GATSM and use it to estimate the coe¢ cients of a BVAR for t...