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

We study how monetary policy in China influences banks' shadow banking activities. We
develop and estimate the endogenously switching monetary policy rule that is based on …

Recent research has shown that a reliable vector autoregression (VAR) for forecasting and
structural analysis of macroeconomic data requires a large set of variables and modeling …

The last twenty years have witnessed tremendous advances in the mathematical, statistical,
and computational tools available to applied macroeconomists. This rapidly evolving field …

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

Many analyses of time series data involve multiple, related variables. Modeling Multiple
Time Series presents many specification choices and special challenges. This book reviews …

We propose a Bayesian stochastic search approach to selecting restrictions for vector
autoregressive (VAR) models. For this purpose, we develop a Markov chain Monte Carlo …

Inference for multiple-equation Markov-chain models raises a number of difficulties that are
unlikely to appear in smaller models. Our framework allows for many regimes in the …