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Papers by Rodney Strachan

Studies in Nonlinear Dynamics & Econometrics

The interaction of macroeconomic variables may change as nominal short-term interest rates approa... more The interaction of macroeconomic variables may change as nominal short-term interest rates approach zero. In this paper, we propose to capture these changing dynamics with a state-switching parameter model which explicitly takes into account that the interest rate might be constrained near the zero lower bound by using a Tobit model. The probability of state transitions is affected by the lagged level of the interest rate. The endogenous specification of the state indicator permits dynamic conditional forecasts of the state and the system variables. We use Bayesian methods to estimate the model and to derive the forecast densities. In an application to Swiss data, we evaluate state-dependent impulse-responses to a risk premium shock identified with sign-restrictions. We provide an estimate of the latent rate, i.e. the rate lower than the constraint on the interest rate level which would be state- and model-consistent. Additionally, we discuss scenario-based forecasts and evaluate th...

Discussion Papers in Economics, 2008

Employing a Bayesian approach, we investigate the impact of international business cycles on the ... more Employing a Bayesian approach, we investigate the impact of international business cycles on the UK economy in the context of a smooth transition VAR. We find that British business cycle is asymmetrically influenced by the US, France and Germany. Overall, positive and negative shocks generating in the US or France affect the UK in the same directions of the shock. Yet, a shock emanating from Germany always exerts negative accumulative effects on the UK. More strikingly, a positive shock arising from Germany negatively affects UK output growth more than a negative shock from Germany of the same size. These results suggest that the appropriate UK economic policy depends upon the origin, size and direction of the external shocks.

... Gary Koop (Gary.Koop@strath.ac.uk) is at the University of Strathclyde. Roberto León-González... more ... Gary Koop (Gary.Koop@strath.ac.uk) is at the University of Strathclyde. Roberto León-González (rlg@grips.ac.jp) is at National Graduate Institute of Policy Studies andRodney Strachan (r.strachan@uq.edu.au) is at University of Queensland. ...

Review of Economic Analysis, 2010

The Review of Economic Analysis, 2010

The 3rd RCEA Bayesian workshop was held in Rimini in July, 2009. The workshop opened with a debat... more The 3rd RCEA Bayesian workshop was held in Rimini in July, 2009. The workshop opened with a debate, chaired by Gael Martin, between a leading Bayesian econometrician, Christian Robert, and a leading classical econometrician, Russell Davidson, on the relative virtues ...

Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroecono... more Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-…tting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying dimension (TVD) models where the dimension of the model can change over time, allowing for the model to automatically choose a more parsimonious TVP representation, or to switch between di¤erent parsimonious representations. Our TVD models all fall in the category of dynamic mixture models. We discuss the properties of these models and present methods for Bayesian inference. An application involving US in ‡ation forecasting illustrates and compares the di¤erent TVD models. We …nd our TVD approaches exhibit better forecasting performance than several standard benchmarks and shrink towards parsimonious speci…cations.

Keele Economics Research Papers, 2004

Page 1. Keele Economics Research Papers KERP 2004/06 On Priors on Cointegrating Spaces Rodney W. ... more Page 1. Keele Economics Research Papers KERP 2004/06 On Priors on Cointegrating Spaces Rodney W. Strachan Keele June 2006 Page 2. KERP Keele Economics Research Papers The Keele Economics Department produces ...

... Please update your bookmarks. Bayesian Maximum Eigenvalue And Trace Statistics For The Cointe... more ... Please update your bookmarks. Bayesian Maximum Eigenvalue And Trace Statistics For The Cointegrating Error Correction Model. Rodney Strachan () and Brett Inder. No 2000_16, Research Papers from University of Liverpool Management School. ...

In this article a method for joint estimation of the number of stochastic trends and the determin... more In this article a method for joint estimation of the number of stochastic trends and the deterministic processes in a multivariate error correction model is presented. This approach takes advantage of the Laplace method of approximating integrals and, the second important contribution of the paper, careful elicitation of the prior for the cointegrating vectors from a prior on the cointegrating space. The approach follows the classical approaches of James (1969), Anderson (1951) and Johansen (1988 and 1991) and performs well when used to estimate the number of stochastic trends compared with information criteria in …nite samples in Monte Carlo experiments.

Adaptive Polar Sampling (APS) algorithms are proposed for Bayesian analysis of models with nonell... more Adaptive Polar Sampling (APS) algorithms are proposed for Bayesian analysis of models with nonelliptical, possibly, multimodal posterior distributions. A location-scale transformation and a transformation to polar coordinates are used. After the transformation to polar coordinates, a Metropolis-Hastings method or, alternatively, an importance sampling method is applied to sample directions and, conditionally on these, distances are generated by inverting the cumulative distribution function. A sequential procedure is applied to update the initial location and scaling matrix in order to sample directions in an efficient way.

SSRN Electronic Journal, 2000