We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...

I examine how the level of uncertainty affects the sensitivity of the U.S Treasury yield curve to monetary policy surprises. My analysis is based on a nonlinear dynamic Nelson-Siegel model of bond yields with regime shifts that depend on the level of macroeconomic uncertainty. The dynamics of...

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...