Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy /
Jouchi Nakajima, Munehisa Kasuya, and Toshiaki Watanabe

Description

Main Author

Nakajima, Jouchi

Related Names

Watabe, Toshiaki, 1963-
Kasuya, Munehisa, 1959-
Nihon Ginkō. Kin'yū Kenkyūjo

Language(s)

English

Published

Tokyo : Institute for Monetary and Economic Studies, Bank of Japan, [2009]

Subjects

Monetary policy > Monetary policy / Japan > Monetary policy / Japan / Econometric models
Stochastic processes
Japan > Japan / Economic conditions > Japan / Economic conditions / 21st century
Japan > Japan / Economic conditions > Japan / Economic conditions / 20th century

Summary

Bayesian inference; Markov chain Monte Carlo; Monetary policy; State space model; Structural vector autoregressive model; Stochastic volatility; Time-varying parameter
This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the Japanese economy and monetary policy during the period from 1981 to 2008. The marginal likelihoods of the TVP-VAR model and other VAR models are also estimated. The estimated marginal likelihoods indicate that the TVP-VAR model best fits the Japanese economic data.--Author's abstract

Note

"May 2009"--Prelim

Physical Description

26 pages : illustrations ; 30 cm

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