This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers (2008) and show that, when ...

A mismatch between the timescale of a structural vector auto-regressive model and that of the time series data used for its estimation can have serious consequences for identification, estimation and ...

This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers (2008) and show that, when ...

This paper presents a novel approach to detail the propagation of shocks to public debt. The modeling technique involves a structural vector auto-regression (SVAR) estimator with an endogenous debt ...

The analysis is based on a single-equation model, completed by a structural vector auto regression model to capture inflation persistence. The results show that the main determinants of inflation in ...

In this study, using a data set composed of five Japanese regional banks, we propose an LGD estimation model using a two- stage model, classification tree-based boosting and support vector regression ...

Abstract This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel ...