Endogenous Time Variation in Vector Autoregressions

• 成果类型: Article
• 署名作者: Leiva-Leon, Danilo; Uzeda, Luis
• 署名单位: European Central Bank; Bank of Canada
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01038
• 发表日期: 2023-01
• 页码: 125-142
• 关键词: monetary-policy; conditional forecasts; sign restrictions; business cycles; identification; DYNAMICS; models; shocks; WORLD

摘要

We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence the dynamics of the coefficients in these models. An estimation algorithm and a parameterization conducive to model comparison are also provided. We apply our framework to the U.S. economy. Scenario analysis suggests that once accounting for the influence of structural shocks on the autoregressive coefficients, the effects of monetary policy on economic activity are larger and more persistent than in an otherwise standard TVP-VAR. Our results also indicate that cost-push shocks play a prominent role in understanding historical changes in inflation-gap persistence.