Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US

DOI10.1016/j.jedc.2022.104457zbMath1492.91216OpenAlexW4281746662MaRDI QIDQ2152349

Helmut Herwartz, Shu Wang, Hannes Rohloff

Publication date: 8 July 2022

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104457

zbMATH Keywords

monetary policy shocksheteroskedasticitystructural vector autoregressionexternal instrumentsproxy SVAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles

Cites Work

• Identification and estimation of non-Gaussian structural vector autoregressions
• Statistical inference for independent component analysis: application to structural VAR models
• Independent component analysis, a new concept?
• Robust Bayesian inference in proxy SVARs
• Inference in structural vector autoregressions identified with an external instrument
• Inference in Bayesian proxy-SVARs
• Bayesian and Frequentist Inference in Partially Identified Models
• U.S. Monetary Policy and the Global Financial Cycle
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• Instrumental Variables Regression with Weak Instruments
• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Applied Time Series Econometrics
• WHAT DO VARS TELL US ABOUT THE IMPACT OF A CREDIT SUPPLY SHOCK?
• Structural Vector Autoregressive Analysis

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