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We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign restrictions, narrative restrictions, and external instruments.Since heteroskedasticity in the reduced form can be exploited to point identify a set of orthogonal shocks, its...
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the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts …-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s. -- FAVAR ; time …
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