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The role of the prior in estimating VAR models with sign restrictions
Inoue, Atsushi; Kilian, Lutz - 2021 - This version: December 9, 2020
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identified VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have...
Persistent link: https://www.econbiz.de/10012661969
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Global financial markets and oil price shocks in real time
Venditti, Fabrizio; Veronese, Giovanni - 2020
The role that the price of oil plays in economic analysis in central banks as well as in financial markets has evolved over time. Oil is not seen anymore just as a input to production but also as a barometer of global economic activity as well as a financial asset. A high frequency structural...
Persistent link: https://www.econbiz.de/10012299083
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Monetary policy, external instruments and heteroskedasticity
Rieth, Malte; Schlaak, Thore; Podstawski, Maximilian - 2019 - This version: February 1, 2019
We develop a vector autoregressive framework that combines an external instrument and heteroskedasticity for the … identifying information in heteroskedasticity are less efficient and tend to underestimate the effects of monetary policy. …
Persistent link: https://www.econbiz.de/10012041145
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Monetary policy, external instruments and heteroskedasticity
Podstawski, Maximilian; Schlaak, Thore; Rieth, Malte - 2018
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...
Persistent link: https://www.econbiz.de/10011880710
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - 2018
restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes …. Heteroskedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary …
Persistent link: https://www.econbiz.de/10011810177
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Robust inference in models identified via heteroskedasticity
Lewis, Daniel J. - 2018
Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in … parameter vector. I apply these tools to monetary policy shocks, identified using heteroskedasticity in high frequency data. I …
Persistent link: https://www.econbiz.de/10011952161
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; NetŠunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010361372
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Structural vector autoregressions with smooth transition in variances : the interaction between US monetary policy and the stock market
Lütkepohl, Helmut; Netšunajev, Aleksei - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10010364697
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Monetary policy, external instruments and heteroskedasticity
Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - 2021 - This version: June 18, 2021
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …
Persistent link: https://www.econbiz.de/10012545191
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Monetary policy, external instruments, and heteroskedasticity
Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 161-200
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for … identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks …
Persistent link: https://www.econbiz.de/10014308528