Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty-Reference-Cited by-同舟云学术

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Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty

Published:2021-11 Issue:1 Volume:225 Page:47-73
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Carriero Andrea,Clark Todd E.,Marcellino Massimiliano

Funder

Ministero dell’Istruzione, dell’Università e della Ricerca

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference58 articles.

1. Uncertainty across volatility regimes;Angelini;J. Appl. Econometrics,2019

2. Financial frictions and fluctuations in volatility;Arellano;J. Polit. Econ.,2019

3. Uncertainty and economic activity: Evidence from business survey data;Bachmann;Am. Econ. J.: Macroecon.,2013

4. Bachmann, R., Moscarini, G., 2011. Business cycles and endogenous uncertainty. Discussion paper. Society for Economic Dynamics.

5. Measuring economic policy uncertainty;Baker;Q. J. Econ.,2016

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