Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

By Jouchi Nakajima, M. Kasuya, Toshiaki Watanabe. 2011

296 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e8a4a9e67fd733d205ee1d0bcbf700c9bb318522

Citations in the corpus

• Oil price shocks and uncertainty: How stable is their relationship over time? (2018, unknown): “Thus, we follow Nakajima (2011) and compute the impulse responses by fixing an initial shock size equal to the average of stochastic volatility over the sample period and employing the simultaneous relations at each point in time.”
• The pass-through effects of oil price shocks on China's inflation: A time-varying analysis (2020, unknown): “According to Nakajima (2011) and Mwabutwa et al. (2016), these results imply that the samples obtained by the MCMC sampling are uncorrelated valid samples.”