Przeglądaj KAE Working Papers według tematu "Bayesian inference"
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Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
(2022-06)Unprecedented increases in European natural gas prices observed in late 2021 and early 2022 raise a question about the sources of these events. In this article we investigate this topic using a time-varying parameters ... -
The European energy crisis and the US natural gas market dynamics. A structural VAR investigation
(2024-03)The Russian invasion of Ukraine triggered severe disruptions in the European energy markets and caused significant shifts in global natural gas flows. In this paper we investigate to what extent this European shock has ... -
The Effects of Fiscal Policy Shocks: Evidence from a Bayesian SVAR Model With Uncertain Identifying Assumptions
(2024-11)We explore the effects of fiscal policy shocks on aggregate output and inflation. We use the novel Bayesian econometric methodology of Baumeister and Hamilton applied to the fiscal structural vector autoregressive model ...
