Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
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DOI：
10.1016/j.jjie.2011.07.004
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发表时间：
2011-09-01
影响因子：
2.9
通讯作者：
Watanabe, Toshiaki
中科院分区：
文献类型：
--
作者：
Nakajima, Jouchi;Kasuya, Munehisa;Watanabe, Toshiaki
Nakajima，Jouchi，Kasuya，Munehisa，and Watanabe，Toshiaki-Bayesian analysis of time-varying parameter vector autoregressive model for Japanese economy and monetary policy本文分析了日本经济和货币政策的时变参数向量自回归（TVP-VAR）模型。允许参数遵循随机游走过程，并使用马尔可夫链蒙特卡罗方法进行估计。实证结果揭示了1981年至2008年期间日本经济和货币政策的时变结构。为了比较TVP-VAR模型和其他固定参数VAR模型的边际似然估计。估计的边际似然表明，TVP-VAR模型最适合日本的经济数据。J.日本国际经济xxx（xx）（2011）xxx-xxx.统计科学系，杜克大学，Box 90251，达勒姆，NC 27708-0251，美国;研究和统计部，日本银行，2-1-1 Nihonbashi-Hongokucho，Chuo-ku，Tokyo 103-8660，日本;经济研究所，一桥大学，2-1纳卡，国町，Tokyo 186-8603，日本。(C)2011 Elsevier Inc. All rights reserved.
Nakajima, Jouchi, Kasuya, Munehisa, and Watanabe, Toshiaki-Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policyThis paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The parameters are allowed to follow a random walk process and estimated using the Markov chain Monte Carlo method. The empirical result reveals the time-varying structure of the Japanese economy and monetary policy during the period from 1981 to 2008. The marginal likelihoods of the TVP-VAR model and other fixed parameter VAR models are estimated for model comparison. The estimated marginal likelihoods indicate that the TVP-VAR model best fits the Japanese economic data. J. Japanese Int. Economies xxx (xx) (2011) xxx-xxx. Department of Statistical Science, Duke University, Box 90251, Durham, NC 27708-0251, United States; Research and Statistics Department, Bank of Japan, 2-1-1 Nihonbashi-Hongokucho, Chuo-ku, Tokyo 103-8660, Japan; Institute of Economic Research, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo 186-8603, Japan. (C) 2011 Elsevier Inc. All rights reserved.