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Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - 2013

We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...

Persistent link: https://www.econbiz.de/10009722854

SVARs identification through bounds on the forecast error variance

Volpicella, Alessio - 2019

-robust approach is proposed to construct estimation and inference. Thirdly, this paper suggests a procedure to derive theory … the FEVD tend to remove unreasonable implications, increase estimation precision, sharpen and also alter the inference of …

Persistent link: https://www.econbiz.de/10012037315

Interest rate pass-through and cost channel of monetary policy : evidence from minimum distance estimation of DSGE model for Pakistan

Munir, Madiha; Tufail, Saira; Ahmed, Ather Maqsood - In: Cogent economics & finance 10 (2022) 1, pp. 1-26

examines the extent of interest rate pass-through and cost channel for exogenous monetary policy shock and endogenous movement … degree of pass-through and cost channel of monetary policy has also been examined. The minimum distance estimation of the …-through depend on the nature of shock hitting the economy and the cost channel exists only for monetary and financial shocks. A weak …

Persistent link: https://www.econbiz.de/10014500255

Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model

Hartwig, Benny - 2020

This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....

Persistent link: https://www.econbiz.de/10012250452

Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Canova, Fabio; Pèrez Forero, Fernando J. - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 359-384

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with...

Persistent link: https://www.econbiz.de/10011757703

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

Read, Matthew - 2022

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

Estimating hysteresis effects

Furlanetto, Francesco; Robstad, Ørjan; Ulvedal, Pål; … - 2020

are disproportionately hit by the shock and exit the labor force. …

Persistent link: https://www.econbiz.de/10012417528

Identification and inference with ranking restrictions

Amir Ahmadi, Pooyan; Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 1-39

We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...

Persistent link: https://www.econbiz.de/10012432770

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

Lütkepohl, Helmut; Milunovich, George - 2015

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...

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

Inference on multivariate heteroscedastic time varying random coefficient models

Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015

series and estimation of time varying parameter processes by well-known rolling regression estimation techniques. We … point for further research on numerous open problems including establishing estimation results of time-varying parameters …

Persistent link: https://www.econbiz.de/10011405250