Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to US Monetary Policy-Reference-Cited by-同舟云学术

Identification in Structural Vector Autoregressive Models with Structural Changes, with an Application to US Monetary Policy

Published:2015-02-20 Issue:6 Volume:77 Page:761-779
ISSN:0305-9049
Container-title:Oxford Bulletin of Economics and Statistics
language:en
Short-container-title:Oxf Bull Econ Stat

Author:

Bacchiocchi Emanuele¹,Fanelli Luca²

Affiliation:

1. Department of Economics; Management and Quantitative Methods; University of Milan; Milan Italy

2. Department of Statistical Sciences and School of Economics; Management and Statistics; University of Bologna; Bologna Italy

Funder

Ministero dell’Istruzione, dell’Università e della Ricerca

Università di Bologna

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/obes.12092/fullpdf

Reference47 articles.

1. Topics in Structural VAR Econometrics

2. Bacchiocchi , E. Castelnuovo , E Fanelli , L 2014 Gimme a Break! Assessing Instabilities in the Macroeconomic Effects of Monetary Policy Shocks in the U.S.

3. Bacchiocchi , E. Fanelli , L 2012 Identification in Vector Autoregressive models with structural changes

4. The cost channel of monetary policy transmission;Barth;NBER Macroeconomics Annual,2001

5. The dynamic effects of aggregate demand and supply disturbances;Blanchard;American Economic Review,1989

Cited by 36 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies;Journal of Economic Dynamics and Control;2024-04

2. A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime;Journal of Business & Economic Statistics;2024-03-25

3. Identification by Non-Gaussianity in Structural Threshold and Smooth Transition Vector Autoregressive Models;2024

4. Predicting Housing Price Trends in Poland: Online Social Engagement - Google Trends;Real Estate Management and Valuation;2023-12-01

5. Key Interest Rate as a Central Banks Tool of the Monetary Policy Influence on Inflation: The Case of Ukraine;Lecture Notes on Data Engineering and Communications Technologies;2023