Measuring the trend real interest rate in a data-rich environment

DOI10.1016/J.JEDC.2023.104606zbMath1518.91292OpenAlexW4317490143MaRDI QIDQ6164826

Bowen Fu

Publication date: 4 July 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104606

zbMATH Keywords

large Bayesian vector autoregressionequilibrium real interest ratetime-varying local meantrend real interest rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Simple marginally noninformative prior distributions for covariance matrices
• Large time-varying parameter VARs
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Efficient simulation and integrated likelihood estimation in state space models
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)

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