Theory Coherent Shrinkage of Time-Varying Parameters in VARs

This article introduces a theory coherent shrinkage prior for Time-Varying Parameter VARs (TVP-VARs). The prior centers the time-varying parameters on a path implied a priori by an underlying economic theory, chosen to describe the dynamics of the macroeconomic variables in system. Leveraging information from conventional economic theory using this prior significantly improves inference precision and forecast accuracy compared to the standard TVP-VAR. In an application, I leverage information from a New Keynesian model that incorporates both the Zero Lower Bound (ZLB) and forward guidance to address the inferential challenges faced by the standard TVP-VAR model during the ZLB period. This approach leads to more precise estimates of the impulse response functions, revealing a distinct propagation of risk premium shocks inside and outside the ZLB in U.S. data.

本文介绍了一种适配于时变参数向量自回归模型（Time-Varying Parameter VARs，TVP-VARs）的理论一致性收缩先验。该先验将时变参数的先验中心设定为一条由底层经济理论先验隐含的路径，该路径用于刻画系统内宏观经济变量的动态演化规律。相较于标准TVP-VAR模型，借助该先验融入传统经济理论信息，可显著提升模型的推断精度与预测准确度。在一项实证应用中，本文采用纳入零下限（Zero Lower Bound，ZLB）与前瞻性指引的新凯恩斯模型所提供的信息，以解决标准TVP-VAR模型在零下限时期面临的推断难题。该方法可得到更为精准的脉冲响应函数（impulse response functions）估计结果，进而基于美国宏观数据揭示风险溢价冲击在零下限区间内外的差异化传导效应。