In this paper, we develop a Bayesian framework to estimate a proxy structural vector
autoregression to identify monetary policy shocks. We find that during the Great Moderation …

The accuracy of particle filters for nonlinear state-space models crucially depends on the
proposal distribution that mutates time t− 1 particle values into time t values. In the widely …

Having efficient and accurate samplers for simulating the posterior distribution is crucial for
Bayesian analysis. We develop a generic posterior simulator called the “dynamic striated …

Данной статье рассматриваются особенности применения двух моделей для оценки
макроэкономической динамики в США: байесовской векторной авторегрессии (BVAR) и …

This paper evaluates the role that sectoral comovement plays in the propagation of
monetary policy shocks on the stock market. In doing so, we introduce a factor-augmented …

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment
flows, as well as on stock market activity. Network Theory is used to analyze structural …

In the present research, the features of applying two models for estimating macroeconomic
dynamic in the USA are investigated: Bayesian vector autoregression and Bayesian vector …