Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version
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More about this item
Keywords
Vector Autoregression; Levy-stable Distribution; Infinite Variance; Monetary Policy Shocks; Heavy-tailed Error Terms; Factorization; Impulse-Response Function;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
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2011-08-29 (Econometric Time Series)
- NEP-MON-2011-08-29 (Monetary Economics)
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