Stochastic Volatility-in-mean VARs with Time-Varying Skewness
具有时变偏度的随机波动入均值 VAR 模型
This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic variables. We provide a Gibbs sampling algorithm for posterior inference and apply the model to quarterly data for the US and the UK. Empirical results show that skewness shocks have economically significant effects on output, inflation…