Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247899 
Year of Publication: 
2021
Series/Report no.: 
Staff Report No. 976
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the model can be used for understanding key features of the data, constructing counterfactual scenarios, and evaluating the macroeconomic environment both retrospectively and prospectively. Considering its breadth and versatility for policy applications, our modeling approach gives a reliable, reduced form alternative to structural models.
Subjects: 
bayesian vector autoregressions
conditional forecasts
scenario analyses
financial conditions index
JEL: 
C11
C32
C53
C54
E32
E37
Document Type: 
Working Paper

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