Autoregressions in small samples, priors about observables and initial conditions

Trabajo presentado como comunicación de congreso al "1st MONFISPOL conference" celebrado en Gran Bretaña en 2010 (Monetary and Fiscal Policy FP7 Project).We propose a benchmark prior for the estimation of vector autoregressions: a prior about initial growth rates of the modeled series. We first show that the Bayesian vs frequentist small sample bias controversy is driven by di erent default initial conditions. These initial conditions are usually arbitrary and our prior serves to replace them in an intuitive way. To implement this prior we develop a technique for translating priors about observables into priors about parameters. We find that our prior makes a big di erence for the estimated persistence of output responses to monetary policy shocks in the United States.Albert Marcet acknowledges financial support from CREI, DGES (Ministerio de Educación y Ciencia), CIRIT (Generalitat de Catalunya) and European Community FP7-SSH grant MONFISPOL under grant agreement SSH-CT-2009-225149.Peer Reviewe

Replication package for Central Bank Information Effects and Transatlantic Spillovers

This is a replication package for the paper "Central Bank Information Effects and Transatlantic Spillovers.&quot

Data for: Vulnerable Growth in the Euro Area: Measuring the Financial Conditions

Quarterly dataset of euro area financial indicators and annual real GDP growth rate used in the paper

Data for: Vulnerable Growth in the Euro Area: Measuring the Financial Conditions

Quarterly dataset of euro area financial indicators and annual real GDP growth rate used in the paper.THIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE. TO VIEW A LIST OF FILES AND ACCESS THE FILES IN THIS DATASET CLICK ON THE DOI-LINK ABOV

Replication package for Central Bank Information Effects and Transatlantic Spillovers

This is a replication package for the paper "Central Bank Information Effects and Transatlantic Spillovers."THIS DATASET IS ARCHIVED AT DANS/EASY, BUT NOT ACCESSIBLE HERE. TO VIEW A LIST OF FILES AND ACCESS THE FILES IN THIS DATASET CLICK ON THE DOI-LINK ABOV