Showing 1 - 10 of 733
We propose an approach for Bayesian inference in time-varying structural vector autoregressions (SVARs) identified with …
Persistent link: https://www.econbiz.de/10014505805
This paper concentrates on describing the available empirical findings on monetary policy transmission in the Czech Republic. Besides the overall impact of monetary policy on inflation and output, it is useful to study its individual channels, in particular the interest rate channel, the...
Persistent link: https://www.econbiz.de/10010833277
There has been a call for caution when using the conventional method for Bayesian inference in setidentified structural …
Persistent link: https://www.econbiz.de/10014368558
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012405305
approach using a Bayesian MS-VAR which is net of these arbitrary components. This method allows for the consistent …
Persistent link: https://www.econbiz.de/10012496739
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012501159
We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign … external instruments can prove necessary when the conditions for point identification through heteroskedasticity are not met … and offers a natural solution to the labeling problem inherent in purely statistical identification strategies. As a …
Persistent link: https://www.econbiz.de/10014356078
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector …
Persistent link: https://www.econbiz.de/10011446039
In this paper we propose a SVAR identification strategy to disentangle two housing demand shocks and their ensuing …
Persistent link: https://www.econbiz.de/10012304191
We address the identification of low-frequency macroeconomic shocks, such as technology, in Structural Vector … Autoregressions. Whilst identification issues with long-run restrictions are well documented, we demonstrate that the recent attempt …-run specifications. We offer a new spectral methodology to improve empirical identification. This new preferred methodology offers …
Persistent link: https://www.econbiz.de/10012499598