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No taxation without reallocation: The distributional effects of tax changes

Ettmeier, Stephanie - 2022

This paper investigates the dynamic effects of tax changes on the cross-sectional distribution of disposable income in the United States using a narrative identification approach. I distinguish between changes in personal and corporate income taxes and quantify the distributional effects on...

Persistent link: https://www.econbiz.de/10013441522

Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference

Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...

Persistent link: https://www.econbiz.de/10014530293

Assessing identifying restrictions in SVAR models

Piffer, Michele - 2016

This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector …

Persistent link: https://www.econbiz.de/10011449879

Bayesian structural VAR models: A new approach for prior beliefs on impulse responses

Bruns, Martin; Piffer, Michele - 2019

Structural VAR models are frequently identified using sign restrictions on contemporaneous impulse responses. We develop a methodology that can handle a set of prior distributions that is much larger than the one currently allowed for by traditional methods. We then develop an importance sampler...

Persistent link: https://www.econbiz.de/10011994106

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

just-identified SVAR models. In this study, Bayesian inference is developed for SVAR models in which the structural … parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the …

Persistent link: https://www.econbiz.de/10011776508

Asymmetric monetary policy effects in Germany

Tober, Silke; Kuzin, Vladimir N. - 2004

economy is in an upswing or a downswing. These two different regimes are also identified using a Markov-switching model and …

Persistent link: https://www.econbiz.de/10010274488

Testing for identification in SVAR-GARCH models: Reconsidering the impact of monetary shocks on exchange rates

Lütkepohl, Helmut; Milunovich, George - 2015

modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample … properties are investigated via a Monte Carlo study. The tests are applied to investigate the validity of the identification …

Persistent link: https://www.econbiz.de/10010487882

Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models

Lütkepohl, Helmut; Netšunajev, Aleksei - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...

Persistent link: https://www.econbiz.de/10010501785

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2019

identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that … does not re-estimate the GARCH parameters in each bootstrap replication. The latter method is computationally more …

Persistent link: https://www.econbiz.de/10012038682

Choosing between different time-varying volatility models for structural vector autoregressive analysis

Lütkepohl, Helmut; Schlaak, Thore - 2017

The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the...

Persistent link: https://www.econbiz.de/10011674102