scholarly journals HIERARCHICAL BAYESIAN ESTIMATION OF TIME VARYING VECTOR AUTOREGRESSIVE MODEL

2012 ◽  
Vol 68 (3) ◽  
pp. 738-753
Author(s):  
Kodai MATSUOKA ◽  
Kiyoyuki KAITO
Keyword(s):  
Bayesian Estimation ◽  
Autoregressive Model ◽  
Time Varying ◽  
Hierarchical Bayesian ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Hierarchical Bayesian Estimation ◽  
Estimation Of Time

scholarly journals The Impact of Stock Prices on Consumption and Interest Rate in Turkey: Evidence from a Time Varying Vector Autoregressive Model

2014 ◽  
Author(s):  
Evrim Tören
Keyword(s):  
Interest Rate ◽  
Stochastic Volatility ◽  
Open Economy ◽  
Stock Prices ◽  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Macroeconomic Dynamics ◽  
Vector Autoregressive ◽  
The Impact

This paper aims to examine the spillovers from stock prices onto consumption and interest rate for Turkey by using a time-varying vector autoregressive model with stochastic volatility. A three-variable time-varying vector autoregressive model is estimated to capture the time-varying nature of the macroeconomic dynamics in the Turkish economy between real consumption, nominal interest rate and real stock prices. In order to obtain the macroeconomic dynamics in a small open economy, the data covers the period 1987:Q1 until 2013:Q3 in Turkey. The sample data is gathered from the official website of Central Bank of the Republic of Turkey. Overall, this study provides the evidence of significant time-varying spillovers on consumption and interest rate coming from the stock market during financial crises and implications of monetary policy in Turkey. In addition, a time-varying vector autoregressive model with stochastic volatility offers remarkable results about the impact of price shock on consumption levels in Turkey.

scholarly journals Modeling Nonstationary Emotion Dynamics in Dyads using a Time-Varying Vector-Autoregressive Model

2018 ◽  
Vol 53 (3) ◽  
pp. 293-314 ◽  
Author(s):  
Laura F. Bringmann ◽  
Emilio Ferrer ◽  
Ellen L. Hamaker ◽  
Denny Borsboom ◽  
Francis Tuerlinckx
Keyword(s):  
Autoregressive Model ◽  
Time Varying ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Emotion Dynamics
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