A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification-Reference-Cited by-同舟云学术

A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification

Published:2018-09-11 Issue: Volume: Page:
ISSN:2573-7953
Container-title:Working paper (Federal Reserve Bank of Cleveland)
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Author:

Bognanni Mark¹

Affiliation:

1. Federal Reserve Bank of Cleveland

Publisher

Federal Reserve Bank of Cleveland

Reference35 articles.

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2. Unconventional monetary policy and the great recession: estimating the macroeconomic effects of a spread compression at the zero lower bound.;Baumeister;Int J Cent Bank,2013

3. 3. Baumeister, Christiane and James D. Hamilton (2015). "Sign restrictions, structural vector autoregressions, and useful prior information." Econometrica, 83(5), pp. 1963–1999. doi:10.3982/ECTA12356.

4. 4. Baumeister, Christiane and Gert Peersman (2013a). "The role of time-varying price elasticities in accounting for volatility changes in the crude oil market." Journal of Applied Econometrics, 28(7), pp. 1087–1109. doi:10.1002/jae.2283.

5. 5. Baumeister, Christiane and Gert Peersman (2013b). "Time-varying effects of oil supply shocks on the US economy." American Economic Journal: Macroeconomics, 5(4), pp. 1–28. doi: 10.1257/mac.5.4.1.

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