On fiscal and monetary policy-induced macroeconomic volatility dynamics

DOI10.1016/j.jedc.2021.104123zbMath1475.91211OpenAlexW3159529265MaRDI QIDQ2246607

Xiaochun Liu

Publication date: 16 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104123

zbMATH Keywords

government spending and monetary policy shockslevel and volatility shocksoutput and inflation volatility dynamicstime-varying SVARvolatility impulse responses and decompositions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Uses Software

• bvarsv

Cites Work

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• A generalised stochastic volatility in mean VAR
• Nonlinear Dynamic Structures
• Multivariate Stochastic Variance Models
• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Time Varying Structural Vector Autoregressions and Monetary Policy

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