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Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019

identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study …. The bootstrap methods considered are a wild bootstrap, a moving blocks bootstrap and a GARCH residual based bootstrap …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that …

Persistent link: https://www.econbiz.de/10012041300

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/10010501257

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018

generalized autoregressive conditional heteroskedastic (GARCH) innovations. The bootstrap methods considered are a wild bootstrap …, a moving blocks bootstrap and a GARCH residual based bootstrap. 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 …

Persistent link: https://www.econbiz.de/10011880712

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

Lütkepohl, Helmut; Schlaak, Thore - 2017 - This version: July 4, 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/10011669909

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 …

Persistent link: https://www.econbiz.de/10010488275

Identifying uncertainty shocks using the price of gold

Piffer, Michele; Podstawski, Maximilian - 2016

We propose a new instrument to identify the impact of uncertainty shocks in a SVAR model with external instruments. We construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events capture periods of changes in uncertainty...

Persistent link: https://www.econbiz.de/10011435972

On the exposure of the BRIC countries to global economic shocks

Belke, Ansgar; Dreger, Christian; Dubova, Irina - 2016

The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly from the financial crisis, their performance deteriorated in the last years, despite the modest recovery in advanced economies. The higher divergence of business...

Persistent link: https://www.econbiz.de/10011506905

Monetary policy, external instruments and heteroskedasticity

Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019

We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing both the relevance and exogeneity condition...

Persistent link: https://www.econbiz.de/10012041145

US monetary policy and the euro area

Hanisch, Max - 2017 - Revised version

This study documents empirically that contractionary US monetary policy may generate short-term expansionary spillover effects. In individual Euro Area (EA) member countries, economic activity increases, mainly via the trade channel. Also, domestic credit and stock markets expand, highlighting...

Persistent link: https://www.econbiz.de/10012041399

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/10011987867