Search Results - subject:"external instruments"

Proxy SVAR identification of monetary policy shocks : Monte Carlo evidence and insights for the US

Herwartz, Helmut; Rohloff, Hannes; Wang, Shu - In: Journal of economic dynamics & control 139 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013464923

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2018

Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we … can be used to relax the additional exclusion restrictions unrelated to the external instruments often imposed to …

Persistent link: https://www.econbiz.de/10012030282

Identification and estimation issues in structural vector autoregressions with external instruments

Angelini, Giovanni; Fanelli, Luca - 2018

the SVAR with an auxiliary statistical model for the external instruments which is a system of reduced form equations. The … SVAR and the auxiliary model for the external instruments jointly form a "larger" SVAR characterized by a particularly … subset of the structural shocks is of interest. Overidentified SVARs with external instruments can be easily tested in our …

Persistent link: https://www.econbiz.de/10012157004

Bayesian vector autoregressions

Miranda-Agrippino, Silvia; Ricco, Giovanni - 2018

Persistent link: https://www.econbiz.de/10011925887

Do interest rates play a major role in monetary policy transmission in China?

Kamber, Güneş; Mohanty, M. S. - 2018

Persistent link: https://www.econbiz.de/10011867090

Monetary policy, external instruments and heteroskedasticity

Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018

We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...

Persistent link: https://www.econbiz.de/10011880710