00000nam 2200000zi 4500 9.887332 CaOODSP 20221107171657 m o d f cr |n||||||||| 200513t20202020oncd ob f000 0 eng d CaOODSP eng rda CaOODSP eng fre n-us--- FB3-5/2020-16E-PDF Leiva-Leon, Danilo, author. Endogenous time variation in vector autoregressions / by Danilo Leiva-Leon and Luis Uzeda. Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 1 online resource (44, 14 pages) : graphs. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-16 Cover title. "Last updated: May 7, 2020." Includes bibliographical references. "We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also provided. We apply our framework to the US economy. Scenario analysis suggests that the effects of monetary policy on economic activity are larger and more persistent in theproposed models than in an otherwise standard TVP-VAR. Our results also indicate that costpush shocks play an important role in understanding historical changes in inflation persistence"--Abstract, page 2. Includes abstract in French. Regression analysis. Inflation (Finance) United States. Monetary policy Econometric models. Analyse de régression. Inflation États-Unis. Politique monétaire Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 1701-9397 ; 2020-16. (CaOODSP)9.806221 PDF 1.08 MB https://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-16-eng.pdf