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Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations

Citations

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Cited by:

  1. Robin Braun & Ralf Brüggemann, 2017. "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz 2017-07, Department of Economics, University of Konstanz.
  2. Kilian, Lutz, 2022. "Facts and fiction in oil market modeling," Energy Economics, Elsevier, vol. 110(C).
  3. Güntner, Jochen & Öhlinger, Peter, 2022. "Oil price shocks and the hedging benefit of airline investments," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  4. Sebastian K. Rüth & Wouter Van der Veken, 2023. "Monetary policy and exchange rate anomalies in set‐identified SVARs: Revisited," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1085-1092, November.
  5. Marek A. Dąbrowski & Łukasz Kwiatkowski & Justyna Wróblewska, 2020. "Sources of Real Exchange Rate Variability in Central and Eastern European Countries: Evidence from Structural Bayesian MSH-VAR Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 369-412, December.
  6. Szafranek, Karol & Szafrański, Grzegorz & Leszczyńska-Paczesna, Agnieszka, 2024. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 789-810.
  7. Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2022. "Robust Bayesian inference in proxy SVARs," Journal of Econometrics, Elsevier, vol. 228(1), pages 107-126.
  8. Martin Geiger & Johann Scharler, 2021. "How Do People Interpret Macroeconomic Shocks? Evidence from U.S. Survey Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(4), pages 813-843, June.
  9. Baumeister, Christiane & Hamilton, James D., 2021. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 114(C).
  10. Camehl, Annika & Rieth, Malte, 2021. "Disentangling Covid-19, economic mobility, and containment policy shocks," IWH Discussion Papers 2/2021, Halle Institute for Economic Research (IWH).
  11. Baumeister, Christiane & Hamilton, James D., 2020. "Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 109(C).
  12. Cheng, Kai & Yang, Yang, 2020. "Revisiting the effects of monetary policy shocks: Evidence from SVAR with narrative sign restrictions," Economics Letters, Elsevier, vol. 196(C).
  13. Valenti, Daniele & Manera, Matteo & Sbuelz, Alessandro, 2020. "Interpreting the oil risk premium: Do oil price shocks matter?," Energy Economics, Elsevier, vol. 91(C).
  14. Christiane Baumeister & James D. Hamilton, 2020. "Advances in Using Vector Autoregressions to Estimate Structural Magnitudes," NBER Working Papers 27014, National Bureau of Economic Research, Inc.
  15. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2023. "When do investors go green? Evidence from a time-varying asset-pricing model," International Review of Financial Analysis, Elsevier, vol. 90(C).
  16. Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, 2023. "A weekly structural VAR model of the US crude oil market," Energy Economics, Elsevier, vol. 121(C).
  17. Michał Rubaszek & Karol Szafranek, 2025. "The European energy crisis and the US natural gas market dynamics: a structural VAR investigation," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-22, February.
  18. Adalid Ramón & Falagiarda Matteo, 2020. "How Repayments Manipulate Our Perceptions about Loan Dynamics after a Boom," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(6), pages 697-742, December.
  19. Knut Are Aastveit & Hilde C. Bjørnland & Jamie L. Cross, 2023. "Inflation Expectations and the Pass-Through of Oil Prices," The Review of Economics and Statistics, MIT Press, vol. 105(3), pages 733-743, May.
  20. Soojin Jo & Lilia Karnizova, 2021. "Online Appendix to "Energy Efficiency and Fluctuations to CO2 Emissions"," Working Papers 2108E, University of Ottawa, Department of Economics.
  21. Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
  22. Rita Fradique Lourenço & Paulo M.M. Rodrigues & Afonso S. Moura, 2024. "Housing markets in Portugal and Spain: Fundamentals, overvaluation and shocks," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  23. Annika Camehl & Malte Rieth, 2023. "Disentangling COVID-19, Economic Mobility, and Containment Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(4), pages 217-248, October.
  24. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2020. "Capital flows in the euro area and TARGET2 balances," Journal of Banking & Finance, Elsevier, vol. 113(C).
  25. Rüth, Sebastian K., 2020. "Shifts in monetary policy and exchange rate dynamics: Is Dornbusch's overshooting hypothesis intact, after all?," Journal of International Economics, Elsevier, vol. 126(C).
  26. Burkhard Heer & Andreas Irmen & Bernd Süssmuth, 2023. "Explaining the decline in the US labor share: taxation and automation," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 30(6), pages 1481-1528, December.
  27. Yilmazkuday, Hakan, 2024. "Geopolitical risks and energy uncertainty: Implications for global and domestic energy prices," Energy Economics, Elsevier, vol. 140(C).
  28. Brinca, Pedro & Duarte, Joao B. & Faria-e-Castro, Miguel, 2021. "Measuring labor supply and demand shocks during COVID-19," European Economic Review, Elsevier, vol. 139(C).
  29. Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022. "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, vol. 231(2), pages 477-499.
  30. Michael T. Belongia & Peter N. Ireland, 2021. "A Classical View of the Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 333-366, March.
  31. Bilgin, Doga & Ellwanger, Reinhard, 2024. "A simple model of global fuel consumption," Energy Economics, Elsevier, vol. 130(C).
  32. von Schweinitz, Gregor, 2023. "The importance of credit demand for business cycle dynamics," IWH Discussion Papers 21/2023, Halle Institute for Economic Research (IWH).
  33. Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2024. "Blended identification in structural VARs," Journal of Monetary Economics, Elsevier, vol. 146(C).
  34. Camehl, Annika & Rieth, Malte, 2023. "Disentangling COVID-19, Economic Mobility, and Containment Policy Shocks," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 15(4), pages 217-248.
  35. Khalil, Makram & Weber, Marc-Daniel, 2021. "Chinese supply chain shocks," MPRA Paper 110356, University Library of Munich, Germany.
  36. Hasan, Iftekhar & Kwak, Boreum & Li, Xiang, 2024. "Financial technologies and the effectiveness of monetary policy transmission," European Economic Review, Elsevier, vol. 161(C).
  37. Staffa, Ruben Marek & von Schweinitz, Gregor, 2023. "Fiscal policy under the eyes of wary bondholders," IWH Discussion Papers 26/2023, Halle Institute for Economic Research (IWH).
  38. Martin Geiger & Jochen Güntner, 2019. "How are oil supply shocks transmitted to the U.S. economy?," Economics working papers 2019-13, Department of Economics, Johannes Kepler University Linz, Austria.
  39. Laumer, Sebastian & Violaris, Andreas-Entony, 2024. "Unconventional monetary policy and policy foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
  40. Oliver Hülsewig & Horst Rottmann, 2022. "Euro Area Periphery Countries' Fiscal Policy and Monetary Policy Surprises," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 544-568, June.
  41. Camehl, Annika & von Schweinitz, Gregor, 2023. "What explains international interest rate co-movement?," IWH Discussion Papers 3/2023, Halle Institute for Economic Research (IWH), revised 2023.
  42. repec:ptu:bdpart:e202413 is not listed on IDEAS
  43. Sam Ouliaris & Adrian Pagan, 2022. "Three Basic Issues that Arise when Using Informational Restrictions in SVARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 1-20, February.
  44. Doga Bilgin & Reinhard Ellwanger, 2019. "The Simple Economics of Global Fuel Consumption," Staff Working Papers 19-35, Bank of Canada.
  45. Matthew Read, 2022. "The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-04, Reserve Bank of Australia.
  46. Baumeister, Christiane & Hamilton, James, 2020. "Advances in Structural Vector Autoregressions with Imperfect Identifying Information," CEPR Discussion Papers 14603, C.E.P.R. Discussion Papers.
  47. Sanghamitra Bandyopadhyay & Rui Sun, 2021. "How large is the effect of inequality on economic growth?," Economics Bulletin, AccessEcon, vol. 41(2), pages 523-531.
  48. Hie Joo Ahn & Jeremy B. Rudd, 2024. "(Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves," Finance and Economics Discussion Series 2024-050, Board of Governors of the Federal Reserve System (U.S.).
  49. Atsushi Inoue & Lutz Kilian, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," Working Papers 2030, Federal Reserve Bank of Dallas.
  50. Laumer, Sebastian, 2020. "Government spending and heterogeneous consumption dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  51. Consolo, Agostino & Foroni, Claudia & Martínez Hernández, Catalina, 2021. "A mixed frequency BVAR for the euro area labour market," Working Paper Series 2601, European Central Bank.
  52. Geiger, Martin & Scharler, Johann, 2019. "How do consumers assess the macroeconomic effects of oil price fluctuations? Evidence from U.S. survey data," Journal of Macroeconomics, Elsevier, vol. 62(C).
  53. Drago Bergholt & Francesco Furlanetto & Etienne Vaccaro-Grange, 2023. "Did monetary policy kill the Phillips Curve? Some simple arithmetics," Working Paper 2023/2, Norges Bank.
  54. Antonio M. Conti & Elisa Guglielminetti & Marianna Riggi, 2019. "Labour productivity and the wageless recovery," Temi di discussione (Economic working papers) 1257, Bank of Italy, Economic Research and International Relations Area.
  55. da Silva, Nelson & Caetano, Sidney, 2024. "Intensity of labor shocks behind the changes in Brazilian hours worked during the pandemic," Economic Modelling, Elsevier, vol. 131(C).
  56. Lance A. Fisher & Hyeon-seung Huh, 2022. "Systematic Monetary Policy in a SVAR for Australia," Working papers 2022rwp-194, Yonsei University, Yonsei Economics Research Institute.
  57. Agostino Consolo & Claudia Foroni & Catalina Martínez Hernández, 2023. "A Mixed Frequency BVAR for the Euro Area Labour Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(5), pages 1048-1082, October.
  58. Ronicle, David, 2022. "Turning in the widening gyre: monetary and fiscal policy in interwar Britain," Bank of England working papers 968, Bank of England.
  59. Christian Grisse, 2020. "The effect of monetary policy on the Swiss franc: an SVAR approach," Working Papers 2020-02, Swiss National Bank.
  60. Oliver Morrissey & Lars Spreng, 2020. "Macroeconomic management on becoming an African oil exporter," Discussion Papers 2020-03, University of Nottingham, CREDIT.
  61. Marco Bernardini & Antonio M. Conti, 2023. "Announcement and implementation effects of central bank asset purchases," Temi di discussione (Economic working papers) 1435, Bank of Italy, Economic Research and International Relations Area.
  62. Nikolay Hristov & Oliver Hülsewig & Johann Scharler, 2021. "Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus," International Journal of Central Banking, International Journal of Central Banking, vol. 17(3), pages 337-383, September.
  63. Lukmanova, Elizaveta & Rabitsch, Katrin, 2023. "Evidence on monetary transmission and the role of imperfect information: Interest rate versus inflation target shocks," European Economic Review, Elsevier, vol. 158(C).
  64. Zhenzhong Fan & Xing Chen, 2024. "The Impact of Unconventional Monetary Policy on China’s Economic and Financial Cycle: Application of a Structural Vector Autoregression Model Based on High-Frequency Data," Mathematics, MDPI, vol. 12(13), pages 1-25, June.
  65. Cosmas Dery & Apostolos Serletis, 2021. "Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1029-1065, October.
  66. De Graeve, Ferre & Schneider, Jan David, 2023. "Identifying sectoral shocks and their role in business cycles," Journal of Monetary Economics, Elsevier, vol. 140(C), pages 124-141.
  67. Rubaszek, Michał & Szafranek, Karol & Uddin, Gazi Salah, 2021. "The dynamics and elasticities on the U.S. natural gas market. A Bayesian Structural VAR analysis," Energy Economics, Elsevier, vol. 103(C).
  68. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
  69. Elguellab, Ali & Ezzahid, Elhadj, 2023. "Dissecting the Moroccan business cycle: A trade-based identification of agricultural supply shocks," Economic Modelling, Elsevier, vol. 129(C).
  70. Cosmas Dery & Apostolos Serletis, 2021. "The Relative Importance of Monetary Policy, Uncertainty, and Financial Shocks," Open Economies Review, Springer, vol. 32(2), pages 311-333, April.
  71. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2021. "The dynamic effects of international oil price shocks on economic fluctuation," Resources Policy, Elsevier, vol. 74(C).
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