Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks

DOI10.1016/j.jedc.2021.104265zbMath1478.91118OpenAlexW3146236646MaRDI QIDQ2054847

Marco M. Sorge, Giovanni Angelini

Publication date: 3 December 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/6646/1/WP1160.pdf

zbMATH Keywords

vector autoregressionDSGE modelsCholesky identificationtiming restrictions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Uses Software

• Gensys

Cites Work

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• Identification and estimation of non-Gaussian structural vector autoregressions
• Impulse response matching estimators for DSGE models
• Structural information in recursive VAR orderings
• Computing sunspot equilibria in linear rational expectations models
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Measuring nonfundamentalness for structural VARs
• VARMA representation of DSGE models
• Solving linear rational expectations models
• Solving dynamic equilibrium models by a method of undetermined coefficients
• System reduction and solution algorithms for singular linear difference systems under rational expectations
• A check for finite order VAR representations of DSGE models
• Sentiments
• DETECTING AND ANALYZING THE EFFECTS OF TIME‐VARYING PARAMETERS IN DSGE MODELS
• Heterogeneous Beliefs and Tests of Present Value Models
• Structural Vector Autoregressive Analysis

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