Essays about: "Macroeconometrics"
Found 3 essays containing the word Macroeconometrics.
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1. 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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2. In search of a smoking gun : The repo rate’s effect on household debt-to-income ratio
University essay from Nationalekonomiska institutionenAbstract : The Swedish households’ debt relative to income has increased for some time now, with the Riksbanks’ executive board expressing its concern for the risk it brings. It has been debated whether or not to take the high indebtedness into account when setting the policy rate. READ MORE
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3. On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives
University essay from Uppsala universitet/Statistiska institutionenAbstract : In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling local economies. The model is based on a collection of local models, which in general are estimated as regular VAR models. READ MORE
