The effects of economic policy uncertainty on European economies: Evidence from a TVP-FAVAR
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DOI: 10.4419/86788826
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More about this item
Keywords
TVP-FAVAR; economic policy uncertainty; fat data; hyperparameter; European Monetary Union; hierarchical prior;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: 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
- E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2017-08-27 (European Economics)
- NEP-MAC-2017-08-27 (Macroeconomics)
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