Panel Bayesian VAR Modeling for Policy and Forecasting when dealing with confounding and latent effects

摘要

The paper develops empirical implementations of the standard time varying?Panel Bayesian VAR model to deal with confounding and latent?effects. Bayesian computations and mixed hierarchical distributions are?used to generate posteriors of conditional impulse responses and conditional?forecasts. An empirical application to Eurozone countries illustrates?the functioning of the model. A survey on policy recommendations?and business cycles convergence are also conducted. The paper?would enhance the more recent studies to evaluate idiosyncratic business?cycles, policy-making, and structural spillovers forecasting. The?analysis confirms the importance to separate common shocks from propagation?of country- and variable-specific shocks.