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        <rdf:li rdf:resource="https://hdl.handle.net/10419/201678" />
        <rdf:li rdf:resource="https://hdl.handle.net/10419/224100" />
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    <dc:date>2026-05-01T00:35:40Z</dc:date>
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  <item rdf:about="https://hdl.handle.net/10419/201678">
    <title>International effects of a compression of euro area yield curves</title>
    <link>https://hdl.handle.net/10419/201678</link>
    <description>Title: International effects of a compression of euro area yield curves
Authors: Feldkircher, Martin; Gruber, Thomas; Huber, Florian
Abstract: In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers transmit through an exchange rate channel and a broad financial channel. We complement our analysis by conducting a portfolio optimization exercise. Our results show that multi-step-ahead forecasts conditional on the euro area yield curve shock improve Sharpe ratios relative to other investment strategies.</description>
    <dc:date>2019-01-01T00:00:00Z</dc:date>
  </item>
  <item rdf:about="https://hdl.handle.net/10419/224100">
    <title>Measuring international uncertainty using global vector autoregressions with drifting parameters</title>
    <link>https://hdl.handle.net/10419/224100</link>
    <description>Title: Measuring international uncertainty using global vector autoregressions with drifting parameters
Authors: Pfarrhofer, Michael
Abstract: This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is constructed endogenously by estimating a scalar driving the innovation variances of the latent factors, and is included also in the mean of the process. To achieve regularization, we use Bayesian techniques for estimation, and introduce a set of hierarchical global-local shrinkage priors. The adopted priors center the model on a constant parameter specification with homoscedastic errors, but allow for time-variation if suggested by likelihood information. Moreover, we assume coefficients across economies to be similar, but provide sufficient flexibility via the hierarchical prior for country-specific idiosyncrasies. The results point towards pronounced real and financial effects of uncertainty shocks in all countries, with differences across economies and over time.</description>
    <dc:date>2019-01-01T00:00:00Z</dc:date>
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  <item rdf:about="https://hdl.handle.net/10419/201679">
    <title>Inducing sparsity and shrinkage in time-varying parameter models</title>
    <link>https://hdl.handle.net/10419/201679</link>
    <description>Title: Inducing sparsity and shrinkage in time-varying parameter models
Authors: Huber, Florian; Koop, Gary; Onorante, Luca
Abstract: Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable uncertainty. Sparsification has the potential to remove this uncertainty and improve forecasts. In this paper, we develop computationally simple methods which both shrink and sparsify TVP models. In a simulated data exercise we show the benefits of our shrink-then-sparsify approach in a variety of sparse and dense TVP regressions. In a macroeconomic forecast exercise, we find our approach to substantially improve forecast performance relative to shrinkage alone.</description>
    <dc:date>2019-01-01T00:00:00Z</dc:date>
  </item>
  <item rdf:about="https://hdl.handle.net/10419/224101">
    <title>Trend fundamentals and exchange rate dynamics</title>
    <link>https://hdl.handle.net/10419/224101</link>
    <description>Title: Trend fundamentals and exchange rate dynamics
Authors: Huber, Florian; Kaufmann, Daniel
Abstract: We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of unemployment, and interest rate smoothing. Compared to the existing literature, our model simultaneously provides estimates of the latent components included in a typical Taylor rule specification and the model-based real exchange rate. Our estimates closely track major movements along with important time series properties of real and nominal exchange rates across all currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend unemployment. More precisely, the proposed approach improves upon competing models in tracking the actual evolution of the real exchange rate in terms of simple correlations while it appreciably improves upon simpler competitors in terms of matching the persistence of the real exchange rate.</description>
    <dc:date>2019-01-01T00:00:00Z</dc:date>
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