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Changing impact of shocks: a time-varying proxy SVAR approach

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  • Haroon Mumtaz

    (Queen Mary University of London)

  • Katerina Petrova

    (University of St. Andrews)

Abstract

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in the US and show that there is limited evidence for a structural change in the tax multiplier.

Suggested Citation

  • Haroon Mumtaz & Katerina Petrova, 2018. "Changing impact of shocks: a time-varying proxy SVAR approach," Working Papers 875, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:875
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    References listed on IDEAS

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    More about this item

    Keywords

    Time-Varying parameters; Stochastic volatility; Proxy VAR; tax shocks;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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