Bgvar: Bayesian Global Vector Autoregressions with Shrinkage Priors in R
In: Globalization Institute Working Paper No. 395
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In: Globalization Institute Working Paper No. 395
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Working paper
In: ECB Working Paper No. 2325
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In: Waste management: international journal of integrated waste management, science and technology, Band 73, S. 392-403
ISSN: 1879-2456
As a consequence of asset purchases by the European Central Bank (ECB), longer- term yields in the euro area decline, and spreads between euro area long-term yields narrow. To assess spillovers of these recent financial developments, we use a Bayesian variant of the global vector autoregressive (BGVAR) model that uses shrinkage priors coupled with stochastic volatility. We find positive and signif- icant spillovers to industrial production in Central, Eastern and Southeastern Europe (CESEE) and other non-euro area EU member states. These effects are transmitted via the financial channel (mainly through interest rates and equity prices) and outweigh costs of appreciation pressure on local currencies vis-a-vis the euro (trade channel). That both shocks yield rather similar results adds narrowing longer-term yields in the euro area as a viable alternative to the pol- icymakers' toolkit. While these results represent general trends, we also find evidence for both cross-country heterogeneity of effects within the euro area and region-specific spillovers thereof.
BASE
In: Journal of economic dynamics & control, Band 70, S. 86-100
ISSN: 0165-1889
In: Bulletin of economic research, Band 69, Heft 3, S. 288-308
ISSN: 1467-8586
ABSTRACTThis paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a monthly dataset on global stock indices, the BVAR model controls for co‐movement commonly observed in global stock markets. Moreover, the time‐varying specification of the covariance structure accounts for sudden shifts in the level of volatility. In an out‐of‐sample forecasting application we show that the BVAR model with stochastic volatility significantly outperforms the random walk both in terms of point as well as density predictions. The BVAR model without stochastic volatility, on the other hand, shows some merits relative to the random walk for forecast horizons greater than six months ahead. In a portfolio allocation exercise we moreover provide evidence that it is possible to use the forecasts obtained from our model with common stochastic volatility to set up simple investment strategies. Our results indicate that these simple investment schemes outperform a naive buy‐and‐hold strategy.
In: Focus on European Economic Integration, Q1/16, 46–65
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In: Archäologie in Deutschland
In: Sonderheft 29 = Jahrgang 2024,1
Fragen, die das Verhältnis vom Lokalen zum Globalen zum Inhalt haben, die sich mit den Beziehungen des Subjekts zu seiner Umwelt beschäftigen und daher an einer Vertiefung von Umgebungswissen interessiert sind, können als Kernthemen moderner Wissenschaft gelten. Im Mittelpunkt steht dabei zumeist ein Begriff, der historisch an prominenter Stelle zwischen diesen Themen und Problemstellungen vermittelt hat: Milieu. Milieu – Umgebungen des Lebendigen in der Moderne erläutert deshalb für einzelne Disziplinen historische Bedeutungen und aktuelle Konjunkturen des Milieubegriffs. Ausgangspunkt aller Beiträge ist die These, dass die Zirkulation des Milieubegriffs durch Disziplinen und Wissensfelder diesen beständig transformiert, und ihm gerade dadurch ein Potenzial zur strukturellen Beschreibung von Umgebungen des Lebendigen erwächst.Mit Beiträgen von Wolf Feuerhahn, Nils Güttler, Claus Leggewie, Johannes Lehmann, Felix Lüttge, Maria Muhle, Florian Sprenger, Laurent Stalder, Michael Vester und einer Einleitung der Herausgeber.
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In: Journal of economic behavior & organization, Band 183, S. 887-900
ISSN: 1879-1751, 0167-2681
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Working paper
In: FRB of Cleveland Working Paper No. 23-05
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In: Computers and electronics in agriculture: COMPAG online ; an international journal, Band 202, S. 107346
In: Waste management: international journal of integrated waste management, science and technology, Band 102, S. 677-685
ISSN: 1879-2456