Paper #1321

Título:

Estimating overidentified, nonrecursive, time-varying coefficients structural VARs

Autores:

Fabio Canova y Fernando J. Pérez Forero

Data:

Mayo 2012

Resumen:

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.

Palabras clave:

Non-recursive overidentified SVARs, Time-varying coefficient models, Bayesian methods, Monetary transmission mechanism

Códigos JEL:

C11, E51, E52

Área de investigación:

Macroeconomía y Economía Internacional

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