In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external … ‘relevance' and ‘exogeneity' conditions. We discuss identification results and likelihood-based estimation methods both in the … ‘multiple shocks' approach, where all structural shocks are of interest, and in the ‘partial shock' approach, where only a …

This paper proposes a joint methodology for the identification and inference of structural vector autoregressive models …

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in … the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across …

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in … the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across …

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in … the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across …

of small SVARs without any common set of variables and with ad hoc and casually justified identification schemes. In …The price puzzle is the association in a structural vector autoregression (SVAR) of a contractionary shock to monetary … considered jointly. SVARs for the pre-1980 and post-1990 periods are identified empirically using a graph-theoretic causal search …

therefore expresses her uncertainty with a prior distribution that covers the parameter space both where the restrictions are …

We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign … external instruments can prove necessary when the conditions for point identification through heteroskedasticity are not met … and offers a natural solution to the labeling problem inherent in purely statistical identification strategies. As a …

financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock … is negative, but not when the shock is positive. …

identification. In order to improve identification of the credit demand shocks, I construct a new granular instrument from regional …