Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

• 成果类型: Article
• 署名作者: Canova, Fabio; Forero, Fernando J. Perez
• 署名单位: European University Institute; Centre for Economic Policy Research - UK
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE305
• 发表日期: 2015
• 页码: 359-384
• 关键词: Time-varying coefficient structural VAR models; Metropolis algorithm; identification restrictions; monetary transmission mechanism

摘要

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-varying and time-invariant parameters.