An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...

The aim of this article is to investigate the consequences of oil price changes for the economy of the US and the euro area. Oil price transmission channel is assessed using Granger causalities and structural vector autoregressive (VAR) specifications (applying the Cholesky factorization and the...

The efficiency of channels of monetary transmission varies from country to country and is conditioned by a number of factors that determine the economic and financial system of a country. In order to achieve the set monetary policy objectives, а central bank takes certain measures and employs...

The author constructs a measure of core inflation using a structural vector autoregression containing oil-price growth, output growth, and inflation. This macro-foundedʺ measure of inflation forecasts total inflation at least as well as other, atheoretical measures. -- Inflation and prices