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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …

Persistent link: https://www.econbiz.de/10010233991

Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes

Velinov, Anton - 2013

tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered …

Persistent link: https://www.econbiz.de/10010229662

Are there bubbles in stock prices? : testing for fundamental shocks

Velinov, Anton; Chen, Wenjuan - 2014

means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the …

Persistent link: https://www.econbiz.de/10010349257

Persistent US current account deficit : the role of foreign direct investment

Celebi, Kaan; Röger, Werner; Welfens, Paul J. J. - 2024

This paper re-evaluates the US external deficit which has considerably widened over the 1990s. US safe asset provision to the rest of the world is the dominant explanation for the persistent nature of the US external deficit. We suggest that apart from the safe asset hypothesis, there is an...

Persistent link: https://www.econbiz.de/10014528273

Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market

Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …

Persistent link: https://www.econbiz.de/10010361372

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - 2018

restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes …. Heteroskedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary …

Persistent link: https://www.econbiz.de/10011810177

Monetary policy, external instruments and heteroskedasticity

Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018

We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...

Persistent link: https://www.econbiz.de/10011880710

Monetary policy, external instruments and heteroskedasticity

Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019

We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the … identifying information in heteroskedasticity are less efficient and tend to underestimate the effects of monetary policy. …

Persistent link: https://www.econbiz.de/10012041145

Heteroskedastic proxy vector autoregressions : testing for time-varying impulse responses in the presence of multiple proxies

Bruns, Martin; Lütkepohl, Helmut - 2022 - This version: May 2, 2022

We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is...

Persistent link: https://www.econbiz.de/10013198929

Monetary policy, external instruments and heteroskedasticity

Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - 2021 - This version: June 18, 2021

We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …

Persistent link: https://www.econbiz.de/10012545191