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

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 : Queen Mary University of London, School of Economics and Finance
Subject:	Time-Varying parameters \| Stochastic volatility \| Proxy VAR \| tax shocks

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Series:	Working Paper ; 875
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1041155387 [GVK] hdl:10419/210430 [Handle]
Classification:	C2 - Econometric Methods: Single Equation Models ; C11 - Bayesian Analysis ; E3 - Prices, Business Fluctuations, and Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10012144217