Department of Economics and Business - Universitat Pompeu Fabra

Title:: Estimating overidentified, nonrecursive, time-varying coefficients structural VARs
Authors:: Fabio Canova and Fernando J. Pérez Forero
Date:: May 2012
Abstract:: 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.
Keywords:: Non-recursive overidentified SVARs, Time-varying coefficient models, Bayesian methods, Monetary transmission mechanism
JEL codes:: C11, E51, E52
Area of Research:: Macroeconomics and International Economics

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