Essays about: "Bayesian vector autoregressive model"
Showing result 1 - 5 of 7 essays containing the words Bayesian vector autoregressive model.
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1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. READ MORE
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2. Navigating Uncertain Waters: A Bayesian Threshold VAR Approach to Understanding the Impact of Commodity Price Shocks on Inflation
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : The Covid-19 pandemic in early 2020 led to unprecedented uncertainty, reducing the predictability of macroeconomic variables. At the same time, commodity price movements as a contributor to national consumer price inflation continue to surface in debates. READ MORE
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3. An Investigation of the Swedish Consumption Function : An Error-Correction Approach
University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Abstract : This thesis examines the Swedish aggregate consumption function using the concept of cointegration, and explores whether consumption, income, financial wealth, and housing wealth share a long-run trend. The goal of the study was to determine the strength of this cointegrating relationship, the relative roles of housing wealth and financial wealth in the consumption function, and a suitable method for forecasting consumption. READ MORE
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4. A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy
University essay from Uppsala universitet/Statistiska institutionenAbstract : This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. READ MORE
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5. Forecasting Foreign Exchange Rates, A comparison between forecasting horizons and Bayesian vs. Frequentist approaches
University essay from Lunds universitet/Matematisk statistikAbstract : Forecasting foreign exchange rates and financial asset prices in general is a hard task. The best model has often been shown to be a simple random walk, which implies that the price movements are unpredictable. In this thesis models that have been somewhat successful in the past are developed and investigated for different forecasting horizons. READ MORE
