When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...

In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external instruments, considering the case in which r valid instruments are used to identify g Ï 1 structural shocks, where r Ï g. We endow the SVAR with an auxiliary statistical model...

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model may have a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). The testing problem is addressed by a...

It is known that the identifiability of the structural parameters of the class of Linear(ized) Rational Expectations (LRE) models currently used in monetary policy and business cycle analysis may change dramatically across different regions of the theoretically admissible parameter space. This...

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model has a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). Under a proper set of identification restrictions,...

It is known that the identifiability of the structural parameters of the class of Linear(ized) Rational Expectations (LRE) models currently used in monetary policy and business cycle analysis may change dramatically across different regions of the theoretically admissible parameter space. This...

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model has a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). Under a proper set of identification restrictions,...

In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external instruments, considering the case in which r valid instruments are used to identify g ≥ 1 structural shocks, where r ≥ g. We endow the SVAR with an auxiliary statistical model...

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...