In this paper, we investigate the effectiveness of conventional and unconventional monetary
policy measures by the European Central Bank (ECB) conditional on the prevailing level of …

In line with recent policy discussions on the use of macroprudential policies (MPPs) to
respond to cross-border risks arising from capital flows, this paper tries to quantify which …

We propose two data-based priors for vector error correction models. Both priors lead to
highly automatic approaches which require only minimal user input. For the first one, we …

Exchange rate modeling has always fascinated researchers because of its complex
macroeconomic dynamics. This study documents the exchange rate dynamics of major …

We compare predictive performance of a multitude of alternative Bayesian vector
autoregression (VAR) models allowing for cointegration and time‐varying conditional …

In line with the recent policy discussion on the use of macroprudential measures to respond
to cross-border risks arising from capital flows, this paper tries to quantify to what extent …

This paper studies the dynamic relationship between the parallel and official exchange rates
of Chinese Yuan (CNY) to US Dollar (USD). Motivated by recent evidence about Bitcoin as a …

This research is focused on a formal Bayesian method of recursive multi-step-ahead density
prediction and its ex post evaluation. Our approach remains within the framework of the …

In this paper we propose a time-varying parameter (TVP) vector error correction model
(VECM) with heteroskedastic disturbances. We propose tools to carry out dynamic model …