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Paper #1321

Títol:
Estimating overidentified, nonrecursive, time-varying coefficients structural VARs
Autors:
Fabio Canova i Fernando J. PĂ©rez Forero
Data:
Maig 2012
Resum:
This paper provides a method to estimate time varying coefficients structural VARs which are non-recursive and potentially overidentified. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to estimate structural models with different identification restrictions. We study the transmission of monetary policy shocks and compare the results with those obtained with traditional methods.
Paraules clau:
Non-recursive overidentified SVARs, Time-varying coefficient models, Bayesian methods, Monetary transmission mechanism
Codis JEL:
C11, E51, E52
Àrea de Recerca:
Macroeconomia i Economia Internacional

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