Sökning: "Bayesian vector autoregressive model"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Bayesian vector autoregressive model.

1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Anny Eklund; Markus Sallkvist; [2024]
   Nyckelord :Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

   Sammanfattning : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. LÄS MER

3. 2. Navigating Uncertain Waters: A Bayesian Threshold VAR Approach to Understanding the Impact of Commodity Price Shocks on Inflation

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Cajsa Klass; Selin Scheuerer; [2023]
   Nyckelord :Uncertainty; Bayesian; Commodity Price Pass-Through; Inflation; Threshold VAR;

   Sammanfattning : The Covid-19 pandemic in early 2020 led to unprecedented uncertainty, reducing the predictability of macroeconomic variables. At the same time, commodity price movements as a contributor to national consumer price inflation continue to surface in debates. LÄS MER

4. 3. An Investigation of the Swedish Consumption Function : An Error-Correction Approach

   Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

   Författare :Robert Pölder; [2017]
   Nyckelord :Consumption; consumption function; vector error-correction model; forecast accuracy; intercept correction; cointegration; Sweden; wealth effects; housing wealth; financial wealth; vector autoregressive model; Bayesian vector autoregressive model;

   Sammanfattning : This thesis examines the Swedish aggregate consumption function using the concept of cointegration, and explores whether consumption, income, financial wealth, and housing wealth share a long-run trend. The goal of the study was to determine the strength of this cointegrating relationship, the relative roles of housing wealth and financial wealth in the consumption function, and a suitable method for forecasting consumption. LÄS MER

5. 4. A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy

   Master-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Måns Unosson; [2016]
   Nyckelord :Bayesian VAR; Gibbs Sampling; State-space; Mixed Frequency Data; Steady-state; Macroeconometrics; Forecasting;

   Sammanfattning : This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. LÄS MER

7. 5. Forecasting Foreign Exchange Rates, A comparison between forecasting horizons and Bayesian vs. Frequentist approaches

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Max Nyström Winsa; [2014]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : Forecasting foreign exchange rates and financial asset prices in general is a hard task. The best model has often been shown to be a simple random walk, which implies that the price movements are unpredictable. In this thesis models that have been somewhat successful in the past are developed and investigated for different forecasting horizons. LÄS MER