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news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …
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In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...
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identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of …
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