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Testing for identification in SVAR-GARCH models : reconsidering the impact of monetary shocks on exchange rates
Lütkepohl, Helmut; Milunovich, George - 2015
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...
Persistent link: https://www.econbiz.de/10010488275
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Exchange rates and the information channel of monetary policy
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2020
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock … component and a central bank information shock component. We identify both components using changes in interest rate futures and … that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline …
Persistent link: https://www.econbiz.de/10012301353
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …
Persistent link: https://www.econbiz.de/10010349257
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
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...
Persistent link: https://www.econbiz.de/10010501257
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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
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Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Lütkepohl, Helmut - 2020
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...
Persistent link: https://www.econbiz.de/10012223488
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Heteroskedastic proxy vector autoregressions
Lütkepohl, Helmut; Schlaak, Thore - 2020 - This version: June 10, 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...
Persistent link: https://www.econbiz.de/10012234556
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Have the effects of shocks to oil price expectations changed? : evidence from heteroskedastic proxy vector autoregressions
Bruns, Martin; Lütkepohl, Helmut - 2023 - This version: April 21, 20231
-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic …
Persistent link: https://www.econbiz.de/10014305728
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...
Persistent link: https://www.econbiz.de/10012180848
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Global risk and the dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2023
, the contractionary impact of a global risk shock is much weaker, both in the rest of the world and the US. For the rest of …
Persistent link: https://www.econbiz.de/10014438127