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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Working Paper No. 8/2024
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized hyperbolic skew Student's t distribution for the innovations. Allowing the skewness parameter to vary over time, our specification permits flexible modelling of innovations in terms of both fat tails and - potentially dynamic - asymmetry. In an empirical application using US data on industrial production, consumer prices and economic policy uncertainty, we find support - although to a moderate extent - for time-varying skewness. In addition, we find that shocks to economic policy uncertainty have a negative effect on both industrial production growth and CPI inflation.
Schlagwörter: 
Bayesian VAR
Generalized hyperbolic skew Students's t distribution
Stochastic volatility
Economic policy uncertainty
JEL: 
C11
C32
C52
E44
E47
G17
Dokumentart: 
Working Paper

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