scholarly journals Forecasting and Policy Analysis With Bayesian Vector Autoregression Models

1984 ◽  
Vol 8 (4) ◽  
Author(s):  
Robert B. Litterman
Keyword(s):  
Policy Analysis ◽  
Vector Autoregression ◽  
Autoregression Models

Features of the vector autoregression models application in macroeconomic research

2021 ◽  
pp. 634-649
Author(s):  
Maria Alexandrovna Shapor ◽  
Rafael Rubenovich Gevogyan
Keyword(s):  
Vector Autoregression ◽  
Autoregressive Models ◽  
Direct Impact ◽  
Financial Indicators ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Main Emphasis ◽  
Economic Strategies ◽  
Autoregression Models

In this paper, we analyzed articles by foreign authors that use various vector autoregression models to calculate the impact of qualitative indicators on the economic processes of countries or a group of countries. In particular, the article analyzed the classical model of vector autoregression (VAR), panel model of autoregressive (PVAR), Bayesian model of autoregressive (BVAR), structural model of autoregressive (SVAR), and the global model of autoregressive (GVAR). Among the works using vector autoregressive models, the main emphasis is on financial indicators. Moreover, articles with non-trivial variables are rare. This is because financial macroeconomic variables in most cases have a direct impact on economic processes in the country. The analysis of financial indicators and the results obtained can play a significant role in the development of economic strategies in different states, since the results obtained with the help of vector autoregression models are usually quite accurate. The studied articles analyze the data of both developed and developing states or groups of states in different periods. The studied articles were classified according to several criteria, which were selected by the author to structure the work. Note that among the works using vector autoregressive models, the main emphasis is on financial indicators. Moreover, articles with non-trivial variables are rare. This is since financial macroeconomic variables in most cases have a direct impact on economic processes in the country. The analysis of financial indicators and the results obtained can play a significant role in the development of economic strategies in different states, since the results obtained with the help of vector autoregression models are usually quite accurate. In the conclusion of this study, the author presented conclusions based on the analysis of autoregressive models.

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