Blar i Norges Banks vitenarkiv på emneord "Bayesian estimation"

Viser treff 1-7 av 7

    • Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models 

      Binning, Andrew; Maih, Junior (Working Papers;17/2015, Working paper, 2015)
      We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter ...

    • Asymmetric monetary policy rules for the euro area and the US 

      Maih, Junior; Mazelis, Falk; Motto, Roberto; Ristiniemi, Annukka (Working Paper;7/2021, Working paper, 2021)
      We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to inflation was more ...

    • Foreign Shocks 

      Bergholt, Drago (Working Papers;15/2015, Working paper, 2015)
      How and to what extent are small open economies affected by international shocks? I develop and estimate a medium scale DSGE model that addresses both questions. The model incorporates i) international markets for firm-to-firm ...

    • How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence 

      Bjørnland, Hilde C.; Halvorsen, Jørn Inge (Working Papers;15/2008, Working paper, 2008)
      This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this ...

    • Implementing the Zero Lower Bound in an Estimated Regime-Switching DSGE Model 

      Binning, Andrew; Maih, Junior (Working Papers;3/2016, Working paper, 2016)
      The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. ...

    • Joint Prediction Bands for Macroeconomic Risk Management 

      Akram, Q. Farooq; Binning, Andrew; Maih, Junior (Working Papers;7/2016, Working paper, 2016)
      In this paper we address the issue of assessing and communicating the joint probabilities implied by density forecasts from multivariate time series models. We focus our attention in three areas. First, we investigate a ...

    • Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns 

      Guidolin, Massimo; Ravazzolo, Francesco; Tortora, Andrea Donato (Working Papers;19/2011, Working paper, 2011)
      This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a ...