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

Article ID	Journal	Published Year	Pages	File Type
965010	Journal of the Japanese and International Economies	2011	21 Pages	PDF

Abstract

âº This paper analyzes the TVP-VAR model for the Japanese economy and monetary policy. âº The parameters and marginal likelihood are estimated using MCMC. âº The empirical results reveals the time-varying structure of the Japanese economy. âº The marginal likelihoods show that the TVP-VAR model best fits the Japanese economy.

Keywords

C11 E52 C15 Bayesian inference Markov chain Monte Carlo Monetary policy State space model Stochastic volatility

Related Topics

Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics

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

Authors

Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe,