Changing impact of shocks : a time-varying proxy SVAR approach

Haroon Mumtaz & Katerina Petrova

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in the US and show that there is limited evidence for a structural change in the tax multiplier.

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Year of publication:	[2018]
Authors:	Mumtaz, Haroon ; Petrova, Katerina
Publisher:	London : School of Economics and Finance, Queen Mary University of London
Subject:	Time-Varying parameters \| Stochastic volatility \| Proxy VAR \| tax shocks \| Schock \| Shock \| VAR-Modell \| VAR model \| Volatilität \| Volatility \| Schätzung \| Estimation \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory \| Börsenkurs \| Share price \| Bayes-Statistik \| Bayesian inference