Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Journal of the Japanese and International Economies

Volumn 25, Issue 3, 2011, Pages 225-245

  Nakajima, Jouchi ^a   Kasuya, Munehisa ^b   Watanabe, Toshiaki ^c  

^a Duke University   (United States)

^b BANK OF JAPAN   (Japan)

^c HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Stochastic volatility; Time varying parameter vector autoregressive model

Indexed keywords

EID: 80051877089     PISSN: 08891583     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jjie.2011.07.004     Document Type: Article

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