Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/213548 
Year of Publication: 
2018
Series/Report no.: 
EERI Research Paper Series No. 15/2018
Publisher: 
Economics and Econometrics Research Institute (EERI), Brussels
Abstract: 
The paper develops empirical implementations of the standard time-varying Panel Bayesian VAR model to deal with confounding and latent effects. Bayesian computations and mixed hierarchical distributions are used to generate posteriors of conditional impulse responses and conditional forecasts. An empirical application to Eurozone countries illustrates the functioning of the model. A survey on policy recommendations and business cycles convergence are also conducted. The paper would enhance the more recent studies to evaluate idiosyncratic business cycles, policy-making, and structural spillovers forecasting. The analysis confirms the importance to separate common shocks from propagation of country- and variable-specific shocks.
Subjects: 
Hierarchical Mixture Distributions in Normal Linear Model
Bayesian Model Averaging
Panel VAR
Forecasting
Structural Spillovers
MCMC Implementations
JEL: 
A2
A4
A5
D1
D2
Document Type: 
Working Paper

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