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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility 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 when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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Calibrating the equilibrium condition of a New Keynesian model with uncertainty
Kranz, Tobias - In: Review of economics 68 (2017) 2, pp. 117-151
Persistent link: https://www.econbiz.de/10011943970
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Solving linear rational expectations models with predictable structural changes
Cagliarini, Adam; Kulish, Mariano - In: The review of economics and statistics 95 (2013) 1, pp. 328-336
Persistent link: https://www.econbiz.de/10009732081
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Solving linear rational expectations models with predictable structural changes
Cagliarini, Adam; Kulish, Mariano - 2008
Persistent link: https://www.econbiz.de/10003798283
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Persistent stochastic shocks in a new Keynesian model with uncertainty
Kranz, Tobias - 2016
AR(1) processes, I examine the results by numerical simulation. First, I derive a reduced-form solution for the nominal …
Persistent link: https://www.econbiz.de/10011479496
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Some models to guide monetary policymakers
Aiyagari, Sudhakar Rao; Braun, R. Anton - In: Carnegie Rochester conference series on public policy : … 48 (1998), pp. 1-42
Persistent link: https://www.econbiz.de/10001507609
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Some models to guide monetary policymakers : a comment
Fuerst, Timothy S. - In: Carnegie Rochester conference series on public policy : … 48 (1998), pp. 43-50
Persistent link: https://www.econbiz.de/10001507611
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New directions for stochastic open economy models
Obstfeld, Maurice; Rogoff, Kenneth S. - In: Journal of international economics 50 (2000) 1, pp. 117-153
Persistent link: https://www.econbiz.de/10001441434
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New directions for stochastic open economy models
Obstfeld, Maurice; Rogoff, Kenneth S. - 1999
Persistent link: https://www.econbiz.de/10001427560
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Stochastic relation between money and capital in an economy with spatially separated markets
Shi, Shouyong - In: Review of economic dynamics 1 (1998) 4, pp. 754-780
Persistent link: https://www.econbiz.de/10001251521