Real-time conditional forecasts with Bayesian VARs: An application to New Zealand

North American Journal of Economics and Finance

Volumn 22, Issue 1, 2011, Pages 26-42

  Bloor, Chris ^a   Matheson, Troy ^a  

^a RESERVE BANK OF NEW ZEALAND   (New Zealand)

Author keywords

Bayesian VAR; Conditional forecasts; Real time

Indexed keywords

EID: 79952706657     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2009.10.003     Document Type: Article

References (24)

1. Banbura M., Gianonne D., Reichlin L. Large Bayesian vector autoregressions. Journal of Applied Econometrics 2010, 25(1):71-92.
2. Bloor C., Matheson T.D. Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand. Empirical Economics 2010.
3. Buckle R.A., Kim K., Kirkham H., McLellan N., Sharma J. A structural VAR business cycle model of a volatile small open economy. Economic Modelling 2007, 24:990-1017.
4. Christiano L.J., Eichenbaum M., Evans C. Monetary policy shocks: What have we learned and to what end?. Handbook of macroeconomics 1999, Vol. 1:65-148. Elsevier. G.S. Taylor, M. Woodford (Eds.).
5. Clarida R., Gali J., Gertler M. The science of monetary policy: A new Keynesian perspective. Journal of Economic Literature 1999, 37(4):1661-1707.
6. Cushman D.O., Zha T. Identifying monetary policy in a small open economy under flexible exchange rates. Journal of Monetary Economics 1997, 39:433-448.
7. De Mol C., Gianonne D., Reichlin L. Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to Principal Components?. Journal of Econometrics 2008, 146(2):318-328.
8. Del Negro M., Schorfheide F. Priors from general equilibrium models for VARs. International Economic Review 2004, May, 45(2):643-673.
9. Diebold F.X., Mariano R.S. Comparing predictive accuracy. Journal of Business and Economic Statistics 1995, July, 13(3):253-263.
10. Doan T., Litterman R., Sims C. Forecasting and conditional projections using realistic prior distributions. Econometric Reviews 1984, 3:1-100.
11. Gali J., Monacelli T. Monetary policy and exchange rate volatility in a small open economy. Review of Economic Studies 2005, 3:707-734.
12. Gianonne D., Reichlin L., Small D. Nowcasting GDP and inflation: The real-time informational content of macroeconomic data releases. Journal of Monetary Economics 2008, 55(4):655-676.
13. Kadiyala, K. R., & Karlsson, S. (1997). Numerical methods for estimation and inference in Bayesian VAR-models. 12, 99-132.
14. Litterman R. Forecasting with Bayesian vector autoregressions - Five years of experience. Journal of Business and Economic Statistics 1986, 4:25-38.
15. Matheson T.D. Factor model forecasts for New Zealand. International Journal of Central Banking 2006, June, 169-237.
16. Matheson T.D. An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys. Economic Modelling 2010, 27(1):304-314.
17. Matheson T.D. Assessing the fit of small open economy DSGEs. Journal of Macroeconomics 2010, 32(3):906-920.
18. Newey W.K., West K. A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-708.
19. Robertson J.C., Tallman E.W. Vector autoregressions: Forecasting and reality. Economic Review, Federal Reserve Bank of Atlanta 1999.
20. Sims C.A. A nine-variable probabilistic macroeconomic forecasting model. Business cycles, indicators, and forecasting 1993, University of Chicago Press, Chicago. J.H. Stock, M.W. Watson (Eds.).
21. Sims C.A., Zha T. Bayesian methods for dynamic multivariate analysis. International Economic Review 1998, 39(4):949-968.
22. Waggoner D.F., Zha T. Conditional forecasts in dynamic multivariate models. The Review of Economics and Statistics 1999, 81(4):639-651.
23. Waggoner D.F., Zha T. A Gibbs sampler for structural vector autoregressions. Journal of Economic Dynamics and Control 2003, 28:349-366.
24. Zha T. Block recursion and structural vector autoregressions. Journal of Econometrics 1999, 90:291-316.