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Bayesian VARs of the U.S. economy before and during the pandemic

Author

Listed:
  • Anna Sznajderska

    (Warsaw School of Economics)

  • Alfred A. Haug

    (University of Otago)

Abstract

We compare the forecasting performance of small and large Bayesian vector-autoregressive (BVAR) models for the United States. We do the forecast evaluation of the competing models for the sample that ends before the pandemic and for the sample that contains the pandemic period. The findings document that these models can be used for structural analysis and generate credible impulse response functions. Furthermore, the results indicate that there are only small gains from the application of a large BVAR model compared to a small BVAR model.

Suggested Citation

  • Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    • Handle: RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00229-9
    DOI: 10.1007/s40822-023-00229-9
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    Cited by:

    1. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).

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    More about this item

    Keywords

    COVID-19; Bayesian VAR models; Impulse response functions; Forecasting;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F10 - International Economics - - Trade - - - General
    • O50 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - General

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