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From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis

Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016

Persistent link: https://www.econbiz.de/10011503984

Tests for overidentifying restrictions in Factor-Augmented VAR models

Han, Xu - In: Journal of econometrics 184 (2015) 2, pp. 394-419

Persistent link: https://www.econbiz.de/10011339283

Gimme a break! : identification and estimation of the macroeconomic effects of monetary policy shocks in the United States

Bacchiocchi, Emanuele; Castelnuovo, Efrem; Fanelli, Luca - In: Macroeconomic dynamics 22 (2018) 6, pp. 1613-1651

Persistent link: https://www.econbiz.de/10011916999

Gimme a break! : identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S.

Bacchiocchi, Emanuele; Castelnuovo, Efrem; Fanelli, Luca - 2016

Persistent link: https://www.econbiz.de/10011698807

The transmission of international shocks to the UK : estimates based on a time-varying factor augmented VAR

Liu, Philip; Mumtaz, Haroon; Theophilopoulou, Angeliki - In: Journal of international money and finance 46 (2014), pp. 1-15

Persistent link: https://www.econbiz.de/10010391033

Impulse response analysis in conditional quantile models with an application to monetary policy

Lee, Dong Jin; Kim, Tae-hwan; Mizen, Paul - In: Journal of economic dynamics & control 127 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012668504

Identifying factor-augmented vector autoregression models via changes in shock variances

Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745

Persistent link: https://www.econbiz.de/10013332683

Estimating the effects of monetary policy in Australia using sign-restricted structural vector autoregressions

Read, Matthew - 2022

Persistent link: https://www.econbiz.de/10014317969

The international dimension of confidence shocks

Dées, Stéphane; Güntner, Jochen - 2014

Building on Beaudry, Nam and Wang (2011) - hereafter BNW -, we use survey data on consumer sentiment in order to identify the causal effects of confidence shocks on real economic activity in a selection of advanced economies. Starting from a set of closed-economy VAR models, we show that these...

Persistent link: https://www.econbiz.de/10010354540

Estimating overidentified, nonrecursive, time-varying coefficients structural VARs

Canova, Fabio; Pérez Forero, Fernando J. - 2012

Persistent link: https://www.econbiz.de/10009720638