incorporating sign restrictions to simultaneously identify monetary policy, technology and demand shocks. The VAR-identifed risk …; regardless, contemporaneous risk and risk news shocks together account for about 20%. This is substantially lower than the 60 …

A large empirical literature has examined the transmission mechanism of structural shocks in great detail. The possible … role played by changes in the volatility of shocks has largely been overlooked in vector autoregression based applications …. This paper proposes an extended vector autoregression where the volatility of structural shocks is allowed to be time …

for a sample of OECD countries and identify monetary policy and capital inflows shocks using sign restrictions. To explore … let the coefficients vary with mortgage market characteristics. Our results suggest that both types of shocks have a … responses of housing variables to both types of shocks are stronger in countries with more developed mortgage markets, roughly …