Abstract This paper contributes to a fuller understanding of macroeconomic outcomes financial market disturbances and the central bank’s role in stability. Our two major contributions are conceptual econometric. Conceptually, we introduce phases business cycle econometrically employ Bayesian VARs. We document that shock increases credit non-financial sector leads persistent decline economic act...

Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand driving factors behind financial market developments. In paper, we exploit daily cross-asset price movements in sign-restricted BVAR model analyse extent which euro area and US yields, equity prices, euro-US dollar exchange rate are jointly driven by moneta...

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-steps ahead forecasts. In the empirical analysis, we examine the forecasting performance of the New Area-Wide Model (NAWM) that has been designed f...

Данная статья посвящена вопросам реализации алгоритмов моделей векторной авторегрессии (VAR) в программной среде R. Достоинствами являются: простота их использования, точность прогнозов, сопоставимая с точностью сложных макроэкономических моделей, отсутствие каких-либо структурных или идентификационных ограничений на параметры. Однако последняя особенность приводит к проблеме перепараметризации...

Corporate economic performance and its association with carbon emissions has been the subject of extensive research within last few decades. The present study examines green firms as reflected in Financial Times Stock Exchange Environmental Opportunities Index Series (FTSE EO) emissions, incorporating role two more indices, namely Baltic Clean Tanker (BAIT) EUR/USD exchange rate. methodology em...

Günümüz finansal piyasalarında faaliyet gösteren yatırımcı türlerinin davranışlarını ve bu davranışların piyasayı ne ölçüde etkileyeceğini anlamak Türkiye gibi gelişmekte olan piyasaların gelişimi istikrarı açısından önem arz eden bir konudur. Bu bağlamda çalışmada, Borsa İstanbul’da yatırım yapan yatırımcıların kimlik tipi (gerçek, tüzel diğer) uyruğu (yerli, yabancı) göz önünde bulundurularak...

In this paper we treat the issue of forecasting with DSGE and DSGE-VAR models, with particular attention to Bayesian estimation of the predictive distribution and its mean and covariance. As a novel contribution to the forecasting literature, which extends beyond (log-linearized) DSGE models and DSGE-VARs, we show how the value of the h-step-ahead marginal and joint predictive likelihood for a ...