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Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t …-distribution with a time-varying variance. We find that in terms of in-sample fit, the VAR model that features both stochastic … volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

Persistent link: https://www.econbiz.de/10010339759

SVARs identification through bounds on the forecast error variance

Volpicella, Alessio - 2019

Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...

Persistent link: https://www.econbiz.de/10012037315

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798

Binary conditional forecasts

McCracken, Michael W.; McGillicuddy, Joseph; Owyang, … - 2019

binary variables. We use the Qual-VAR [Dueker (2005)], whose joint VAR-probit structure allows us to form conditional …

Persistent link: https://www.econbiz.de/10012137102

An anatomy of external shocks in the Andean region

Carrillo-Maldonado, Paul; Díaz Cassou, Javier - 2019

This paper applies an agnostic structural vector autoregression (SVAR) approach to study the response of four Andean economies (Bolivia, Colombia, Ecuador, and Peru) to international shocks. More specifically, we look at the response of gross domestic product, the real exchange rate, fiscal and...

Persistent link: https://www.econbiz.de/10012117480

Debt erosion: asymmetric response to demand and supply shocks

Valencia, Oscar M.; Gamboa-Arbelaez, Juliana; Sánchez, … - 2023

This paper explores the effect of inflation supply and demand shocks on government debt. It identifies the shocks using a sign-restricted Structural Vector Autoregression (SVAR) model with quarterly data. Estimations of dynamic panel regressions and local projections suggest that supply shocks...

Persistent link: https://www.econbiz.de/10014536631

Global oil price swings : has their effect on Malta changed over time?

Ruisi, Germano - 2023

This paper develops a two-block Structural Vector Autoregression featuring time-varying parameters and stochastic volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from January 2008 to March 2022. The model is estimated by...

Persistent link: https://www.econbiz.de/10014380679

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...

Persistent link: https://www.econbiz.de/10011306276

The impact of uncertainty shocks under measurement error : a proxy SVAR approach

Carriero, Andrea; Mumtaz, Haroon; Theodoridis, Konstantinos - 2013

A growing empirical literature has considered the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper we consider the possible impact of measurement error in the uncertainty shock proxies on the estimated impulse responses...

Persistent link: https://www.econbiz.de/10009784657

What do VARs tell us about the impact of a credit supply shock? : an empirical analysis

Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2014

This paper evaluates the performance of structural VAR models in estimating the impact of credit supply shocks. In a … SVARs to try and recover the impulse responses to these shocks. The experiment suggests that a proxy VAR that uses an … error in the instrument. A structural VAR with sign restrictions also performs well under some circumstances. In contrast …

Persistent link: https://www.econbiz.de/10010339749