Identification and estimation of non-Gaussian structural vector autoregressions
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jeconom.2016.06.002
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
References listed on IDEAS
- Thorbecke, Willem, 1997.
"On Stock Market Returns and Monetary Policy,"
Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
- Willem Thorbecke, 1995. "On Stock Market Returns and Monetary Policy," Economics Working Paper Archive wp_139, Levy Economics Institute.
- Willem Thorbecke, 1998. "On Stock Market Returns and Monetary Policy," Macroeconomics 9812009, University Library of Munich, Germany.
- Blanchard, Olivier Jean & Quah, Danny, 1989.
"The Dynamic Effects of Aggregate Demand and Supply Disturbances,"
American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
- Bénédicte Vidaillet & V. d'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
- Castelnuovo, Efrem & Nisticò, Salvatore, 2010.
"Stock market conditions and monetary policy in a DSGE model for the U.S,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
- Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S," "Marco Fanno" Working Papers 0107, Dipartimento di Scienze Economiche "Marco Fanno".
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Post-Print hal-00732674, HAL.
- Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2014.
"Rare Shocks, Great Recessions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1031-1052, November.
- Marco Del Negro & Vasco Curdia, 2012. "Rare Shocks, Great Recessions," 2012 Meeting Papers 654, Society for Economic Dynamics.
- Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2013. "Rare Shocks, Great Recessions," Working Paper Series 2013-01, Federal Reserve Bank of San Francisco.
- Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2012. "Rare shocks, great recessions," Staff Reports 585, Federal Reserve Bank of New York.
- Andrews, Beth & Davis, Richard A. & Jay Breidt, F., 2006. "Maximum likelihood estimation for all-pass time series models," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1638-1659, August.
- Lutz Kilian, 2013.
"Structural vector autoregressions,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554,
Edward Elgar Publishing.
- Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
- Markku Lanne & Helmut Lütkepohl, 2008.
"Identifying Monetary Policy Shocks via Changes in Volatility,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
- Markku Lanne & Helmut L‹Tkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
- Markku Lanne & Helmut Lütkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," CESifo Working Paper Series 1744, CESifo.
- Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute.
- Rapach, David E., 2001. "Macro shocks and real stock prices," Journal of Economics and Business, Elsevier, vol. 53(1), pages 5-26.
- Renée Fry & Adrian Pagan, 2011.
"Sign Restrictions in Structural Vector Autoregressions: A Critical Review,"
Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
- Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers 2010-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," NCER Working Paper Series 57, National Centre for Econometric Research.
- Rigobon, Roberto & Sack, Brian, 2004.
"The impact of monetary policy on asset prices,"
Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
- Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," NBER Working Papers 8794, National Bureau of Economic Research, Inc.
- Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," Finance and Economics Discussion Series 2002-04, Board of Governors of the Federal Reserve System (U.S.).
- Roberto Rigobon & Brian P. Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
- Bjørnland, Hilde C. & Leitemo, Kai, 2009.
"Identifying the interdependence between US monetary policy and the stock market,"
Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the Interdependence between US Monetary Policy and the Stock Market," Memorandum 12/2005, Oslo University, Department of Economics.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers 17/2005, Bank of Finland.
- Hilde C. Bjørnland & Kai Leitemo, 2008. "Identifying the interdependence between US monetary policy and the stock market," Working Paper 2008/04, Norges Bank.
- repec:zbw:bofrdp:2010_011 is not listed on IDEAS
- Siddhartha Chib & Srikanth Ramamurthy, 2014. "DSGE Models with Student- t Errors," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 152-171, June.
- Helmut Lütkepohl & Aleksei Netsunajev, 2014.
"Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market,"
Discussion Papers of DIW Berlin
1388, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Netésunajev, Aleksei, 2014. "Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market," SFB 649 Discussion Papers 2014-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end?,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148,
Elsevier.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1997. "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues WP-97-18, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- Meitz, Mika & Saikkonen, Pentti, 2013.
"Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity,"
Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 227-255.
- Mika Meitz & Pentti Saikkonen, 2012. "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity," Koç University-TUSIAD Economic Research Forum Working Papers 1226, Koc University-TUSIAD Economic Research Forum.
- Nigar Hashimzade & Michael A. Thornton (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Macroeconomics," Books, Edward Elgar Publishing, number 14327.
- Helmut Lütkepohl & Aleksei NetŠunajev, 2014.
"Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, April.
- Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
- Marc Hallin & Chintan Mehta, 2015.
"R -Estimation for Asymmetric Independent Component Analysis,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 218-232, March.
- Marc Hallin & Chintan Mehta, 2013. "R-Estimation for Asymmetric Independent Component Analysis," Working Papers ECARES 2013-19, ULB -- Universite Libre de Bruxelles.
- Christian Gouriéroux & Alain Monfort, 2014. "Revisiting Identification and estimation in Structural VARMA Models," Working Papers 2014-30, Center for Research in Economics and Statistics.
- Kohn, R, 1979. "Identification Results for ARMAX Structures," Econometrica, Econometric Society, vol. 47(5), pages 1295-1304, September.
- Lanne Markku & Saikkonen Pentti, 2011.
"Noncausal Autoregressions for Economic Time Series,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-32, October.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal autoregressions for economic time series," MPRA Paper 32943, University Library of Munich, Germany.
- Kung-Sik Chan & Lop-Hing Ho & Howell Tong, 2006. "A note on time-reversibility of multivariate linear processes," Biometrika, Biometrika Trust, vol. 93(1), pages 221-227, March.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Anderson, Brian D.O. & Deistler, Manfred & Felsenstein, Elisabeth & Funovits, Bernd & Koelbl, Lukas & Zamani, Mohsen, 2016. "Multivariate Ar Systems And Mixed Frequency Data: G-Identifiability And Estimation," Econometric Theory, Cambridge University Press, vol. 32(4), pages 793-826, August.
- Normandin, Michel & Phaneuf, Louis, 2004.
"Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility,"
Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1217-1243, September.
- Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 0337, CIRPEE.
- Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 03-04, HEC Montréal, Institut d'économie appliquée.
- Cheng, Lichao & Jin, Yi, 2013. "Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation," Economics Letters, Elsevier, vol. 119(1), pages 24-27.
- Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
- Sirkku Pauliina Ilmonen & Davy Paindaveine, 2011. "Semiparametrically Efficient Inference Based on Signed Ranks in Symmetric Independent Component Models," Working Papers ECARES ECARES 2011-003, ULB -- Universite Libre de Bruxelles.
- Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
- Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010.
"The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States,"
Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
- Yun Daisy Li & Talan B. Işcan & Kuan Xu, 2007. "The Impact of Monetary Policy Shocks on Stock Prices: Evidence from Canada and the United States," Working Papers daleconwp2007-07, Dalhousie University, Department of Economics.
- Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
- Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna, 2010.
"Structural vector autoregressions with Markov switching,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 121-131, February.
- Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
- Lanne, Markku & Lütkepohl, Helmut, 2010.
"Structural Vector Autoregressions With Nonnormal Residuals,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 159-168.
- Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute.
- Markku Lanne & Helmut Lütkepohl, 2006. "Structural Vector Autoregressions with Nonnormal Residuals," CESifo Working Paper Series 1651, CESifo.
- Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
- Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
- Patelis, Alex D, 1997. "Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-1972, December.
- Breid, F. Jay & Davis, Richard A. & Lh, Keh-Shin & Rosenblatt, Murray, 1991. "Maximum likelihood estimation for noncausal autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 175-198, February.
- Alessio Moneta & Doris Entner & Patrik O. Hoyer & Alex Coad, 2013. "Causal Inference by Independent Component Analysis: Theory and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 705-730, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lütkepohl, Helmut & Netésunajev, Aleksei, 2014.
"Structural vector autoregressions with smooth transition in variances: The interaction between US monetary policy and the stock market,"
SFB 649 Discussion Papers
2014-031, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
- repec:hum:wpaper:sfb649dp2014-031 is not listed on IDEAS
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
- Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with smooth transition in variances," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 43-57.
- Helmut Lütkepohl & Anton Velinov, 2016.
"Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity,"
Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 377-392, April.
- Lütkepohl, Helmut & Velinov, Anton, 2016. "Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 30, pages 377-392.
- Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," CESifo Working Paper Series 4651, CESifo.
- Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
- Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2015.
"Structural vector autoregressions with heteroskedasticity: A comparison of different volatility models,"
SFB 649 Discussion Papers
2015-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helmut Lütkepohl & Aleksei Netsunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models," Discussion Papers of DIW Berlin 1464, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Aleksei Netšunajev, 2015. "Structural Vector Autoregressions with Heteroskedasticity - A Comparison of Different Volatility Models," CESifo Working Paper Series 5308, CESifo.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Dominik Bertsche & Robin Braun, 2022.
"Identification of Structural Vector Autoregressions by Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
- Dominik Bertsche & Robin Braun, 2017. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2017-11, Department of Economics, University of Konstanz.
- Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Braun, Robin, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181631, Verein für Socialpolitik / German Economic Association.
- Bertsche, Dominik & Braun, Robin, 2020. "Identification of structural vector autoregressions by stochastic volatility," Bank of England working papers 869, Bank of England.
- repec:hum:wpaper:sfb649dp2015-015 is not listed on IDEAS
- repec:hum:wpaper:sfb649dp2014-009 is not listed on IDEAS
- Dmitry Kulikov & Aleksei Netsunajev, 2016. "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2015-8, Bank of Estonia, revised 19 Feb 2016.
- Lutz Kilian, 2013.
"Structural vector autoregressions,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554,
Edward Elgar Publishing.
- Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
- Emanuele BACCHIOCCHI & Luca FANELLI, 2012. "Identification in structural vector autoregressive models with structural changes," Departmental Working Papers 2012-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024.
"Identification of vector autoregressive models with nonlinear contemporaneous structure,"
Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
- Francesco Cordoni & Nicolas Doremus & Alessio Moneta, 2023. "Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure," LEM Papers Series 2023/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Herwartz, Helmut & Lütkepohl, Helmut, 2014.
"Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks,"
Journal of Econometrics, Elsevier, vol. 183(1), pages 104-116.
- Helmut Herwartz & Helmut Luetkepohl, 2011. "Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks," Economics Working Papers ECO2011/11, European University Institute.
- Bjørnland, Hilde C. & Leitemo, Kai, 2009.
"Identifying the interdependence between US monetary policy and the stock market,"
Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers 17/2005, Bank of Finland.
- Hilde C. Bjørnland & Kai Leitemo, 2008. "Identifying the interdependence between US monetary policy and the stock market," Working Paper 2008/04, Norges Bank.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the Interdependence between US Monetary Policy and the Stock Market," Memorandum 12/2005, Oslo University, Department of Economics.
- Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2014.
"Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S,"
"Marco Fanno" Working Papers
0181, Dipartimento di Scienze Economiche "Marco Fanno".
- Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2016. "Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S," Melbourne Institute Working Paper Series wp2016n31, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Challe, Edouard & Giannitsarou, Chryssi, 2014.
"Stock prices and monetary policy shocks: A general equilibrium approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
- Challe, E. & Giannitsarou, C., 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers 330, Banque de France.
- Edouard Challe & Chryssi Giannitsarou, 2012. "Stock Prices And Monetary Policy Shocks: A General Equilibrium Approach," Working Papers hal-00719956, HAL.
- Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
- Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna, 2010.
"Structural vector autoregressions with Markov switching,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 121-131, February.
- Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
- Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
- Guay, Alain, 2021. "Identification of structural vector autoregressions through higher unconditional moments," Journal of Econometrics, Elsevier, vol. 225(1), pages 27-46.
More about this item
Keywords
Structural vector autoregressive model; Identification; Impulse responses; Non-Gaussianity;All these keywords.
JEL classification:
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:196:y:2017:i:2:p:288-304. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.