This paper examines the evolution of the cyclicality of real wages and employment in four Latin American economies (Brazil, Chile, Colombia and Mexico) during the period 1980-2010. Wages are highly pro-cyclical during the 1980s and early 1990s, a period characterized by high inflation. As...

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

In recent years local projections have become a more and more popular methodology for the estimation of impulse responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is that there is no need to impose any specific assumption...

In this paper we introduce the general setting of a multivariate time series autoregressive model with stochastic time-varying coefficients and time-varying conditional variance of the error process. This allows modeling VAR dynamics for non-stationary times series and estimation of time varying...

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

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...