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Do bivariate SVAR models with long-run identifying restrictions yield reliable results? : the case of Germany
Gottschalk, Jan; Van Zandweghe, Willem - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10011476382
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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
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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/10010509631
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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
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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 di erent 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/10010503909
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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
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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
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Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany
van Zandweghe, Willem; Gottschalk, Jan - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10010276923
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Pass-through of external shocks to euro area inflation
Hahn, Elke - 2003
This paper investigates the pass-through of external shocks, i.e. oil price shocks, exchange rate shocks, and non-oil import price shocks to euro area inflation at different stages of distribution (import prices, producer prices and consumer prices). The analysis is based on a VAR model that...
Persistent link: https://www.econbiz.de/10009635958
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Output and inflation responses to credit shocks: are there threshold effects in the euro area?
Calza, Alessandro; Sousa, João - 2005
This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....
Persistent link: https://www.econbiz.de/10011604527