General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields

• Published in: Journal of applied econometrics (Chichester, England) Vol. 38; no. 1; pp. 69 - 87
• Main Authors: Fischer, Manfred M., Hauzenberger, Niko, Huber, Florian, Pfarrhofer, Michael
• Format: Journal Article
• Language: English
• Published: Chichester Wiley Periodicals Inc 01.01.2023
• Subjects: Ambiguity; Autoregressive models; Bayesian analysis; Bayesian shrinkage; Econometrics; interest rate forecasting; latent effect modifiers; MCMC sampling; Parameters; Random walk

Summary 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 evo...