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Pär Stockhammar: Some applications of a Bayesian VAR model

Time: Wed 2015-11-11 13.00 - 14.00

Location: Room B705, Department of Statistics, Stockholm university

Participating: Pär Stockhammar, Deptartment of Statistics and National Institute of Economic Research

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The Bayesian VAR model of Villani (2009) is used to study the effect of exogenous and/or endogenous shocks on the Swedish economy. E.g. the effect of a large negative shock to Swedish housing prices on household consumption and unemployment is studied. The model is also employed to investigate how the euro crisis and/or higher policy uncertainty affect Swedish GDP growth. Results are shown in the time domain as well as in the frequency domain.

Some references:

  1. Gustavsson, P., Stockhammar, P. and Österholm, P. (2015) Macroeconomic Effects of a Decline in Housing Prices in Sweden. Working Paper 138, National Institute of Economic Research (Submitted). 
  2. Stockhammar, P. and Österholm, P. (2015) Effects on US Policy Uncertainty on Swedish GDP Growth. Forthcoming in Empirical Economics.
  3. Villani, M. (2009) Steady-State Priors for Vector Autoregressions, Journal of Applied Econometrics, 24, 630-650.
  4. Österholm, P. and Stockhammar, P. (2014) The Euro Crisis and Swedish GDP Growth -  A Study of Spillovers. Applied Economics Letters, 21, 1105-1110.
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