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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …
Persistent link: https://www.econbiz.de/10011926201
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The effects of macroeconomic shocks on the Brunei economy : a sign restriction approach
Koh, Wee Chian - In: Journal of the Asia Pacific economy 22 (2017) 3, pp. 414-428
Persistent link: https://www.econbiz.de/10011747034
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Oil prices and fiscal policy in an oil-exporter country : empirical evidence from Oman
Aljabri, Salwa; Raghavan, Mala; Vespignani, Joaquin - 2021
Persistent link: https://www.econbiz.de/10013254051
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Oil prices and fiscal policy in an oil-exporter country : empirical evidence from Oman
Aljabri, Salwa; Raghavana, Mala; Vespignani, Joaquin - 2021
Persistent link: https://www.econbiz.de/10012664106
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Oil prices and fiscal policy in an oil-exporter country : empirical evidence from Oman
Al Jabri, Salwa; Raghavan, Mala; Vespignani, Joaquin - In: Energy economics 111 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013350165
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Interaction of monetary and fiscal policies in Turkey
Büyükbaşaran, Tayyar; Çebİ, Cem; Yılmaz, Erdal - 2019
Persistent link: https://www.econbiz.de/10012888546
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Macroeconomic policy transmission and international interdependence : a SVAR application to Brazil and US
Dias, Maria Helena Ambrosio; Dias, Joilson - In: Economia : revista da ANPEC 14 (2013) 2, pp. 27-45
Economic policy transmission between trade partners has been analyzed over different contexts in the literature. Depending on real or nominal frictions, the results indicate possible beggar-thy-neighbor effects for policies, given international trade, and need for coordinating policies. The...
Persistent link: https://www.econbiz.de/10011864672
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Interaction of monetary and fiscal policies in Turkey
Büyükbaşaran, Tayyar; Çebi, Cem; Yılmaz, Erdal - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 193-203
Bayesian Structural Vector Autoregression (SVAR) model with sign and zero restrictions is used. We particularly focus on how …
Persistent link: https://www.econbiz.de/10012429632
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Monetary versus fiscal policy in India : an SVAR analysis
Arora, Sanchit - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 250-274
Persistent link: https://www.econbiz.de/10011974595
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Good policy or good luck? : analyzing the effects of fiscal policy and oil revenue shocks in Ecuador
García-Albán, Freddy; González-Astudillo, Manuel; … - In: Energy economics 100 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012990227