Paper #1321

Títol:

Estimating overidentified, nonrecursive, time-varying coefficients structural VARs

Autors:

Fabio Canova i Fernando J. Pérez 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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