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

Currently, the dynamics of the population have raised concerns about the future
sustainability of Italy's national health system. The increasing proportion of people over the …

This paper illustrates how to handle a sequence of extreme observations—such as those
recorded during the COVID‐19 pandemic—when estimating a vector autoregression, which …

We develop a new class of general-equilibrium models with partially unfunded debt to
propose a fiscal theory of persistent inflation. In response to business cycle shocks, the …

Central bank announcements simultaneously convey information about monetary policy and
the central bank's assessment of the economic outlook. This paper disentangles these two …

Traditional approaches to structural vector autoregressions (VARs) can be viewed as
special cases of Bayesian inference arising from very strong prior beliefs. These methods …

Commonly used instruments for the identification of monetary policy disturbances are likely
to combine the true policy shock with information about the state of the economy due to the …

This chapter provides an overview of and user's guide to dynamic factor models (DFMs),
their estimation, and their uses in empirical macroeconomics. It also surveys recent …

Why are interest rates so low in the Unites States? We find that they are low primarily
because the premium for safety and liquidity has increased since the late 1990s, and to a …

This paper illustrates how to handle a sequence of extreme observations—such as those
recorded during the COVID-19 pandemic—when estimating a Vector Autoregression, which …