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A VAR model estimated on U.S. data before and after 1980 documents systematic differences in the response of short- and long-term interest rates, corporate bond spreads and durable spending to news TFP shocks. Interest rates across the maturity spectrum broadly increase in the pre-1980s and...
Persistent link: https://www.econbiz.de/10012889175
This paper extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change...
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A VAR model estimated on U.S. data before and after 1980 documents systematic differences in the response of short- and long-term interest rates, corporate bond spreads and durable spending to news TFP shocks. Interest rates across the maturity spectrum broadly increase in the pre-1980s and...
Persistent link: https://www.econbiz.de/10011990092
Persistent link: https://www.econbiz.de/10011967418
This paper proposes a new, comprehensive Bayesian sampling scheme for inference in vector autoregressions (VARs) using sign restrictions. I build on a factor model decomposition of the reduced-form VAR disturbances, which are specified to be driven by a few common factors/shocks. The outcome is...
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