Functions for Bayesian inference of vector autoregressive and vector error correction models
Replication code for Addressing COVID-19 Outliers in BVARs with Stochastic Volatility“ by Carriero, Clark, Marcellino and Mertens (2021), Work in Progress
Standard Bayesian VAR with conjugate priors and Minnesota dummy-observation priors (unit-root and cointegration dummies) for analyzing shock transmission between U.S. 5-year and 3-year T-Bills and Colombian 5-year TES.
A Bayesian VAR Framework for US Macro-Financial Forecasting and Stress-Test Scenario Design. Forecasts eleven US variables and generates DFAST-style stress scenarios, with a live interactive dashboard.
BVAR evidence on how U.S. monetary conditions and China growth shocks transmit to Hong Kong output under the Linked Exchange Rate System, 1998-2026.
Replication code for my MSc thesis on geopolitical risk, energy prices and macro-financial transmission in the euro area.
Applied Bayesian Econometrics for Central Bankers in R
GDPNow-Morocco: a quarterly GDP nowcasting model for Morocco, adapting the Federal Reserve Bank of Atlanta's GDPNow methodology (Higgins, 2014) and other methods
Bayesian VAR (BVAR) analysis of fiscal transmission and fiscal leakage in Timor-Leste: temporal disaggregation, structural breaks, IRFs/FEVDs, and a reproducible Shiny dashboard in R.
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