ESTIMATING MULTICOUNTRY VAR MODELS

• 成果类型: Article
• 署名作者: Canova, Fabio; Ciccarelli, Matteo
• 署名单位: European Central Bank
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2009.00554.x
• 发表日期: 2009
• 页码: 929-959
• 关键词: vector autoregressions; exchange-rates; inference; likelihood

摘要

This article presents a method to estimate the coefficients, to test specification hypotheses, and to conduct policy exercises in multicountry Vector Autoregressive (VAR) models with cross-unit interdependencies, unit-specific dynamics, and time variations in the coefficients. The framework of analysis is Bayesian: A prior flexibly reduces the dimensionality of the model and puts structure on the time variations, Markov chain Monte Carlo (MCMC) methods are used to obtain posterior distributions, and marginal likelihoods to check the fit of various specifications. Impulse responses and conditional forecasts are obtained with the output of an MCMC routine. The transmission of certain shocks across countries is analyzed.