Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are robust to this problem, and Monte Carlo evidence suggests they provide reliable estimates of the true impulse responses. We use local...

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

In this paper, we investigate the sources of heterogeneity within the euro area. For this purpose, we build an optimization-based multi-country model (MCM) that allows different sources of heterogeneity across countries, both in terms of behavior of economic agents and in terms of asymmetry of...

The purpose of this paper is to analyze the dynamic response of a small subset of variables to exchange rate shocks by using a new method based on a set of theory-consistent sign restrictions for the purpose of identifying shocks over time (1995Q1–2019Q1) in the Moroccan economy. It is...

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

In this study, we explore the pass-through of exchange rate fluctuations to domestic CPI and its components for Azerbaijan, Kazakhstan and Russia. Using the data of 2003:Q1- 2016:Q2, we estimate a VAR model and find significant but incomplete pass-through in all sample countries. The accumulated...

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...

Starting from the theoretical observation that the identification problem of SVAR models is fundamentally a problem of variable aggregation, we propose a new identification method based on nowcasted macroeconomic data, i.e. on macroeconomic series reconstructed at high-frequency. The idea is...

We develop a similarity-based structural vector autoregressive (SVAR) model using the similar clusters of data relevant for the prevailing initial macroeconomic conditions of interest. Our computationally attractive simple approach enables us to uncover time-varying effects of structural...

This paper studies the effects of monetary policy shocks using structural VARs. We achieve identification by imposing sign and zero restrictions on the systematic component of monetary policy. Importantly, our identification scheme does not restrict the contemporaneous response of output to a...