| 1. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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A Hybrid Time-Varying Parameter Bayesian VAR Analysis of Okun’s Law in the United States
- 2020
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Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 197
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Tidskriftsartikel (refereegranskat)abstract
- Employing quarterly data on GDP growth and the unemployment rate ranging from 1948Q3 to 2019Q4, we study the stability of Okun’s law in the United States. This is done by estimating hybrid time-varying Bayesian VAR models that allow for time-variation in none, one or both of the equations. Model comparison based on marginal likelihoods suggests that the relationship has not been stable. However, the amount of change in the dynamic relationship between the two variables is quantitatively very modest.
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| 2. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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A Note on the Stability of the Swedish Phillips Curve
- 2020
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 59:6, s. 2573-2612
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Tidskriftsartikel (refereegranskat)abstract
- We use Bayesian techniques to estimate bivariate VAR models for Swedish unem-ployment rate and inflation. Employing quarterly data from 1995Q1 to 2018Q3 and new tools for model selection, we compare models with time-varying parameters and/or stochastic volatility to specifications with constant parameters and/or covariance matrix. The evidence in favour of a stable dynamic relationship between the unemployment rate and inflation is mixed. Model selection based on marginal like-lihood calculations indicates that the relation is time varying, whereas the use of the deviance information criterion suggests that it is constant over time; we do, however, note consistent evidence in favour of stochastic volatility. An out-of-sample forecast exercise is also conducted, but similarly provides mixed evidence regarding which model to favour. Importantly though, even if time-varying parameters are allowed for, our results do not suggest that the Phillips curve has been flatter in more recent years. This finding thereby questions the explanation that a flatter Phillips curve is the cause of the low inflation that Sweden has experienced in recent year.
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| 3. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Flexible Fat-tailed Vector Autoregression
- 2020
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Rapport (populärvet., debatt m.m.)abstract
- We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace distributions as special cases as well as their mixture. Full conditional posterior distributions for the Bayesian VAR-model are derived and used to construct a MCMC-sampler for the joint posterior distribution. The framework allows for selection of a specific special case as the distribution for the error terms in the VAR if the evidence in the data is strong while at the same time allowing for considerable flexibility and more general distributions than offered by any of the special cases. As fat tails can also be a sign of conditional heteroskedasticity we also extend the model to allow for stochastic volatility. The performance is evaluated using simulated data and the utility of the general model specification is demonstrated in applications to macroeconomics.
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| 4. |
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| 5. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Sambandet mellan arbetslöshet och inflation i Sverige
- 2020
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Ingår i: Ekonomisk Debatt. - : Nationalekonomiska Föreningen. - 0345-2646. ; 48:1, s. 7-19
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- I denna artikel analyseras sambandet mellan arbetslöshet och inflation i Sverige under en period där inflationsmålspolitiken kan ses som etablerad. Resultaten indikerar att sambandet mellan arbetslöshet och inflation – vilket ofta benämns phillipskurvan – inte nödvändigtvis har varit stabilt över tiden. Vi finner dock inget stöd för att inflationen under de senaste åren skulle ha blivit mindre känslig för förändringar i arbetslösheten. Analysen pekar också på vikten av att överväga huruvida makroekonomiska samband samt de störningar som drabbar ekonomin bör modelleras som tidsvarierande, såväl för att kunna besvara akademiska frågeställningar som att ha policymodeller med relevanta empiriska egenskaper.
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| 6. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
The relation between the corporate bond-yield spread and the realeconomy : Stable or time-varying?
- 2020
-
Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 186
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread’s usefulness for predicting real economic activity has not changed to a relevant extent after the Great Recession.
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