Joint research unit 7235

Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?

Khaled Guesmi, Ilyes Abid, Olfa Kaabia

We study the contagion effects of a U.S. housing shock on OECD countries over the period of the subprime crisis. Considering a large database containing national macroeconomic, financial, and trade dynamic variables for 17 OECD countries, we evaluate forecasting accuracy, and perform a structural analysis exercise using VAR models of different sizes: a standard VAR estimated by OLS and a MEDIUM and LARGE VARs estimated by a Bayesian shrinkage procedure. Our main findings are that: First, the largest specification outperforms the smallest one in terms of forecast accuracy. Second, the MEDIUM VAR outperforms both the LARGE BVAR and the SMALL VAR in the case of structural analysis. So the MEDIUM VAR is sufficient to provide plausible impulse responses, and reproduce more realistically what happened during the subprime crisis. Third, the Bayesian shrinkage procedure is preferable to the standard OLS estimation in the case of an international contagion study.

AGENDA

Thursday 22 February 2024

Colloques et Workshops

Crises and resilience in developing countries

Monday 26 February 2024

Domino Secessions : Evidence from the US

Jean Lacroix (U Paris Saclay, RITM)

Domino Secessions : Evidence from the US

Monday 26 February 2024

Law, Institutions and Economics in Nanterre (LIEN)

Jean Lacroix (U Paris Saclay, RITM)

Domino Secessions : Evidence from the US

Tuesday 27 February 2024

Colloques et Workshops

Harcèlement moral et sexuel dans la recherche

Tuesday 27 February 2024

Colloques et Workshops

Harcèlement moral et sexuel dans la recherche

Thursday 29 February 2024

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Nouveaux Doctorants II

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Thursday 29 February 2024

Lunch

Nouveaux Doctorants II

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Thursday 29 February 2024

Playing Dumb to Look Green

Claire Rimbaud (U. Dauphine)

Playing Dumb to Look Green

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