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Proxy SVAR identification of monetary policy shocks : MonteCarlo evidence and insights for the US
Herwartz, Helmut; Rohloff, Hannes; Wang, Shu - 2020
In empirical macroeconomics, proxy structural vector autoregressive models (SVARs) have become a prominent path towards detecting monetary policy (MP) shocks. However, in practice, the merits of proxy SVARs depend on the relevance and exogeneity of the instrumental information employed. Our...
Persistent link: https://www.econbiz.de/10012297438
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Statistical identification in panel structural vector autoregressive models based on independence criteria
Herwartz, Helmut; Wang, Shu - In: Journal of applied econometrics 39 (2024) 4, pp. 620-639
Persistent link: https://www.econbiz.de/10014562838
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Proxy SVAR identification of monetary policy shocks : Monte Carlo evidence and insights for the US
Herwartz, Helmut; Rohloff, Hannes; Wang, Shu - In: Journal of economic dynamics & control 139 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013464923
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Proxy SVAR Identification of Monetary Policy Shocks – Monte Carlo Evidence and Insights for the US
Herwartz, Helmut; Rohloff, Hannes; Wang, Shu - 2020
In empirical macroeconomics, proxy structural vector autoregressive models (SVARs) have become a prominent path towards detecting monetary policy (MP) shocks. However, in practice, the merits of proxy SVARs depend on the relevance and exogeneity of the instrumental information employed. Our...
Persistent link: https://www.econbiz.de/10014091880
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Proxy SVAR Identification of Monetary Policy Shocks - Monte Carlo Evidence and Insights for the Us
Herwartz, Helmut; Rohloff, Hannes; Wang, Shu - 2022
In empirical macroeconomics, proxy structural vector autoregressive models (SVARs) have become a prominent path towards detecting monetary policy (MP) shocks. However, in practice, the merits of proxy SVARs depend on the relevance and exogeneity of the instrumental information employed. Our...
Persistent link: https://www.econbiz.de/10013295931