We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on … at least fifteen times since 1999. This information is used to restrict the sign and magnitude of the structural … residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

between multiplier size and the import share. Employing an interacted panel VAR model for EU countries, we estimate the effect …

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its … examine alternative oil market VAR models. We help the reader understand why the latter models sometimes generated … supply shocks that have been used as external or internal instruments for VAR models …

output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the …Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …

models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF-TVP-SV-VAR … expert forecasts and show that the MF-TVP-SV-VAR delivers better inflation nowcasts in this regard. Using an optimal …

strategy exploits the heterogeneous impact of the shock on importers. The results indicate that this relatively minor, non …-localized shock had a non-trivial economic impact on exposed firms and propagated downstream through affected suppliers. Additional … empirical tests, motivated by a simple theory, demonstrate that low-liquidity firms amplified its transmission …