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...

In recent policy debates some have argued that expansionary monetary policy in Japan can increase real output in Japan and in Japan´s neighbors, while others have warned that it is a beggar-thy-neighbor policy. In this paper we estimate structural vector autoregressions to assess the effects of...

Using structural VARs, I find that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect quickly and strongly interest rates and the exchange rate in a typical emerging market. The price level and real output in...

In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is...

In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by...

A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks....

Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope...

The shocks in structural vector autoregressive (VAR) analysis are typically assumed to be instantaneously uncorrelated. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable. Correlated shocks may be obtained even if the proxies are...

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models identified by generalized autoregressive conditional heteroskedasticity (GARCH) are reviewed and compared in a Monte Carlo study. The bootstrap methods considered are a wild...