| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12339 |
| DP12339 Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model | |
| Massimiliano Marcellino; Claudia Foroni | |
| 发表日期 | 2017-09-28 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a Bayesian panel model for mixed frequency data, where parameters can change over time according to a Markov process. Our model allows for both structural instability and random effects. To estimate the model, we develop a Markov Chain Monte Carlo algorithm for sampling from the joint posterior distribution of the model parameters, and we test its properties in simulation experiments. We use the model to study the effects of macroeconomic uncertainty and financial uncertainty on a set of variables in a multi-country context including the US, several European countries and Japan. We find that for most of the variables financial uncertainty dominates macroeconomic uncertainty. Furthermore, we show that the effects of uncertainty differ whether the economy is in a contraction regime or in an expansion regime. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Dynamic panel model Mixed-frequency Markov switching Bayesian inference Mcmc |
| URL | https://cepr.org/publications/dp12339 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541149 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Claudia Foroni. DP12339 Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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