General Bayesian time‐varying parameter VARs for modeling government bond yields

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2022-09-02 DOI:10.1002/jae.2936

M. Fischer, Niko Hauzenberger, Florian Huber, Michael Pfarrhofer

引用次数: 3

Abstract

. US yield curve dynamics are subject to time-variation, but there is ambiguity about its precise form. This paper develops a vector autoregressive (VAR) model with time-varying parameters and stochastic volatility which treats the nature of parameter dynamics as unknown. Coeﬃcients can evolve according to a random walk, a Markov switching process, observed predictors, or depend on a mixture of these. To decide which form is supported by the data and to carry out model selection, we adopt Bayesian shrinkage priors. Our framework is applied to model the US yield curve. We show that the model forecasts well, and focus on selected in-sample features to analyze determinants of structural breaks in US yield curve dynamics.

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用于政府债券收益率建模的一般贝叶斯时变参数var

．美国收益率曲线的动态受时间变化的影响，但其精确形式尚不明确。本文建立了一个参数时变和随机波动的向量自回归模型，该模型将参数动力学性质视为未知。系数可以根据随机游走、马尔可夫切换过程、观察到的预测因子或依赖于这些因素的混合而进化。为了确定数据支持哪种形式并进行模型选择，我们采用贝叶斯收缩先验。我们的框架被应用于美国收益率曲线的建模。我们表明该模型预测良好，并专注于选定的样本内特征来分析美国收益率曲线动态中结构性断裂的决定因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.