This paper presents a generalized two-step maximum likelihood estimation method for partially identified vector autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance...

We employ a structural panel VAR model with interaction terms to identify determinants of effective transmission from central bank policy rates to retail lending rates in a large country sample. The framework allows deriving country specific pass-through estimates broken down into the...

I propose a new approach to identifying exogenous monetary policy shocks in low-income countries with capital account restrictions. In the case of Mauritania, a domestic repatriation requirement is the key institutional characteristic that allows me to establish exogeneity. Unlike in advanced...