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Smooth-transition SVAR and external instrument: Insights on the identifying assumptions

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  • Barci, Giovanni

Abstract

Identification of smooth-transition VAR structural parameters using an external instrument requires supplementary assumptions relative to the benchmark linear case. This paper shows that such additional discretion may have relevant implications for impulse response functions estimates.

Suggested Citation

  • Barci, Giovanni, 2024. "Smooth-transition SVAR and external instrument: Insights on the identifying assumptions," Economics Letters, Elsevier, vol. 243(C).
    • Handle: RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524003860
    DOI: 10.1016/j.econlet.2024.111902
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    More about this item

    Keywords

    State-dependence; SVAR-IV; Shock identification; Monetary policy;
    All these keywords.

    JEL classification:

    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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