structural models in the general case where the model might contain more than one permanent structural shock. It provides a …

structural models in the general case where the model might contain more than one permanent structural shock. It provides a …-run restrictions than are needed because of a failure to fully utilize the cointegration information. …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …

‘multiple shocks' approach, where all structural shocks are of interest, and in the ‘partial shock' approach, where only a … the Global Financial Crisis. To do so, we employ two external instruments to identify the real economic activity shock in … a partial shock approach …

variables to a monetary policy shock. The long-run restrictions embedded in the model are themselves identified, estimated, and …