This chapter reviews Bayesian methods for inference and forecasting with VAR models.
Bayesian inference and, by extension, forecasting depends on numerical methods for …

In this paper, we develop algorithms to independently draw from a family of conjugate
posterior distributions over the structural parameterization when sign and zero restrictions …

A multivariate regime-switching model for monetary policy is confronted with US data. The
best fit allows time variation in disturbance variances only. With coefficients allowed to …

Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide
stylized facts for dynamic stochastic general equilibrium (DSGE) models; yet no workable …

We show how correctly to extend known methods for generating error bands in reduced form
VAR's to overidentified models. We argue that the conventional pointwise bands common in …

This paper documents data-oriented, detailed evidence on the international transmission of
US monetary policy shocks for the flexible exchange rate period using VAR models. First …

We estimate international spillover effects of US Quantitative Easing (QE) on emerging
market economies (EMEs). Using a Bayesian panel VAR we find that an expansionary US …

We use a dynamic factor model estimated on quarterly state-level data from 1986 to 2005
via Bayesian methods to disentangle the relative importance of the common component in …

In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework
have not been commonly presented with probability distributions. This paper develops …

We present a theoretical and empirical framework for computing and evaluating linear
projections conditional on hypothetical paths of monetary policy. A modest policy …