“...Previous research on the prediction of fiscal aggregates has shown evidence that simple autoregressive models often provide better forecasts of fiscal...”

“...The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank...”

“...•Using a large Bayesian VAR, we study the effects of government purchases shocks.•Informational insufficiency explains inconsistent results across conventional...”

“...While autonomous central banks in large open economies are usually predisposed to use monetary rules to target inflation, output, and long-term interest rates,...”

“...Fitting a Markov-switching structural vector autoregression to euro area data, we show that, after taking into account heteroskedasticity, the differences in...”

“...We address the issue of parameter dimensionality reduction in Vector Autoregressive models (VARs) for many variables by imposing specific reduced rank...”

“...Previous research on the prediction of fiscal aggregates has shown evidence that simple autoregressive models often provide better forecasts of fiscal...”

“...We consider the forecasting of macroeconomic variables that are subject to revisions, using Bayesian vintage-based vector autoregressions. The prior...”

“...We use Bayesian time-varying parameters VARs with stochastic volatility to investigate changes in the marginal predictive content of the yield spread for...”

“...37 p. Using sign restrictions within a time-varying parameter vector autoregressive (TVP-VAR) framework, we provide new time-series evidence of debt-dependent...”