01795cas a2200253 a 4500 AALejournalIMF002375 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451852639 1018-5941 BD-DhAAL BD-DhAAL Ciccarelli, Matteo. Bayesian Vars : A Survey of the Recent Literature with An Application to the European Monetary System / Matteo Ciccarelli, Alessandro Rebucci. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (44 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan and others (1984) and review alternative priors. We then discuss extensions of the basic model and address issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how some of the results previously presented may be applied in practice. Mode of access: Internet Rebucci, Alessandro. IMF Working Papers; Working Paper ; No. 2003/102 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/102/001.2003.issue-102-en.xml IMF e-Library