What the heck does the forbidding phrase "reduced form Bayesian VAR" mean? Let's break this down. The VAR in question isn't VaR (Value at Risk). It's Vector Autoregression. This is a stochastic ...

Macroeconomic forecasts from vector autoregression (VAR) models, in which the data are combined with Bayesian prior distributions on the coefficients, gained great popularity in the 1980s. The prior ...

2025 MAY 06 (NewsRx) -- By a News Reporter-Staff News Editor at Economics Daily Report -- Investigators publish new report on Investment. According to news reporting from New York City, New York, by ...

This article examines frequentist risks of Bayesian estimates of vector autoregressive (VAR) regression coefficient and error covariance matrices under competing loss ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information ...