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Bayesian vector autoregressions

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  • Miranda-Agrippino, Silvia

    (Bank of England)

  • Ricco, Giovanni

    (University of Warwick)

Abstract

This article reviews Bayesian inference methods for vector autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

Suggested Citation

  • Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
    • Handle: RePEc:boe:boeewp:0756
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    8. Kunovac, Davor & Palenzuela, Diego Rodriguez & Sun, Yiqiao, 2022. "A new optimum currency area index for the euro area," Working Paper Series 2730, European Central Bank.
    9. Demiessie, Habtamu, 2020. "COVID-19 Pandemic Uncertainty Shock Impact on Macroeconomic Stability in Ethiopia," MPRA Paper 102625, University Library of Munich, Germany, revised 31 Aug 2020.
    10. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
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    Keywords

    Monetary policy; local projections; VARs; expectations; information rigidity; survey forecasts; external instruments;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • 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

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