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Identifying Monetary Policy Shocks Via Changes in Volatility

Lanne, Markku - 2013

data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

Persistent link: https://www.econbiz.de/10012754187

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …

Persistent link: https://www.econbiz.de/10011771740

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 …

Persistent link: https://www.econbiz.de/10010488275

Partial identification of heteroskedastic structural VARs : theory and Bayesian inference

Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a … particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions … prior ensures that the evidence for identifying a structural shock comes only from the data and is not favoured by the prior …

Persistent link: https://www.econbiz.de/10014528602

Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis

Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...

Persistent link: https://www.econbiz.de/10003751230

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

Lütkepohl, Helmut - 2017

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …

Persistent link: https://www.econbiz.de/10012941084

Disentangling Demand and Supply Shocks in the Crude Oil Market : How to Check Sign Restrictions in Structural VARs

Lütkepohl, Helmut - 2012

may be invalidated by measurement errors, data adjustments or omitted variables. We model changes in the volatility of the …

Persistent link: https://www.econbiz.de/10013109191

Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity

Lütkepohl, Helmut - 2014

) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …

Persistent link: https://www.econbiz.de/10013059797

Comparing external and internal instruments for vector autoregressions

Bruns, Martin; Lütkepohl, Helmut - 2025 - This version: February 11, 2025

In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically accomplished by considering the covariance of the instruments and the reduced-form residuals. Alternatively, the instruments may be internalized by augmenting the VAR process by...

Persistent link: https://www.econbiz.de/10015205441

Disentangling demand and supply shocks in the crude oil market : how to check sign restrictions in structural VARs

Lütkepohl, Helmut; Netsunajev, Aleksei - 2012

may be invalidated by measurement errors, data adjustments or omitted variables. We model changes in the volatility of the …

Persistent link: https://www.econbiz.de/10009579219