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Time-varying yield curve dynamics and monetary policy (replication data)
Monetary policy, the yield curve and the private sector behaviour of the US economy are modelled as a time-varying structural vector autoregression. The monetary policy shocks... -
Steady-state priors for vector autoregressions (replication data)
Bayesian priors are often used to restrain the otherwise highly over-parametrized vector autoregressive (VAR) models. The currently available Bayesian VAR methodology does not... -
Hours per capita and productivity: evidence from correlated unobserved compon...
Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated...
