Adaptive Bayesian Shrinkage of High-Dimensional Panel VARs

A Bayesian spike-and-slab method improves high-dimensional panel VAR forecasting and reveals heterogeneous spillover structures in sovereign bonds and macro data.

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Featured in No. 134 on 9 Oct 2026 · 4 days after release

Figure 5: Posterior Dynamic Interdependencies Across the Euro Area

Released: 5 Oct 2026
First featured: No. 134 · 9 Oct 2026
Published in: Not yet, as far as Semantic Scholar knows
Fanfare: 2 of 5
Identifier: RePEc:adl:wpaper:2026-05
Authors: Zhiruo Zhang et al.

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