Utilising a nonlinear (regime-switching) mixed-frequency panel vector autoregression model, we study the effects of government spending shocks in United States (US) over business cycle, while considering role partisan conflict. In particular, investigate whether conflict is relevant to differences fiscal multipliers expansionary and recessionary cycle phases upon impact annual shocks, using qua...

Multivariate count models are rare in political science, despite the presence of many count time series. This article develops a new Bayesian Poisson vector autoregression (BaP-VAR) model that can characterize endogenous dynamic counts with no restrictions on the contemporaneous correlations. Impulse responses, decomposition of the forecast errors, and dynamic multiplier methods for the effects...

There is a vast literature that speci…es Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that many of these priors are not appropriate for multi-country settings, which motivates me to develop priors for panel VARs (PVARs). The parametric and semi-parametric priors I suggest not only perform valuable shrinkage in large dimensions, ...

We investigate the lead-lag relationship between growth of patent applications, growth of R&D, and growth of total sectoral employment for 270 German labour market regions over the period 1999-2005. Our unique panel dataset includes information on four two-digit industries, namely Chemistry, Transport equipment, Medical & Optical Equipment as well as Electrics & Electronics. The results obtaine...

The purpose of this paper is to examine two factors, gold production and export prices, that have been suggested as having aided Australia's escape from the deflation it faced in the early 1890s. In order to examine the factors influencing Australian domestic prices in the second half of the nineteenth century, annual data over the period 1861-1900 are used to estimate a structural vector autor...

This study examines the influence of financial intermediation on fertility rate and labor allocation decisions. A panel Vector Autoregression model using three variables of interest, specifically, financial intermediation, fertility, and industrial employment data in 87 countries, was estimated. This convenient methodology allows the relationship between the variables to change over time. Fi...

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR models. The optimal shrinkage is chosen by maximizing the Marginal Likelihood of the model. Focusing o...

Motivated by the growing interconnection between online platforms, we examine the dynamic interplay between social buzz and contribution behavior in the crowdfunding context. Since the utility of crowdfunding projects is usually difficult to ascertain, prospective backers draw on quality signals, such as social buzz and prior-contribution behavior, to make their funding decisions. We employ the...