000 02636nam  2200433zi 4500
0019.887332
003CaOODSP
00520221107171657
006m     o  d f      
007cr |n|||||||||
008200513t20202020oncd    ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
041 |aeng|bfre
043 |an-us---
0861 |aFB3-5/2020-16E-PDF
1001 |aLeiva-Leon, Danilo, |eauthor.
24510|aEndogenous time variation in vector autoregressions / |cby Danilo Leiva-Leon and Luis Uzeda.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264 4|c©2020
300 |a1 online resource (44, 14 pages) : |bgraphs.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-16
500 |aCover title.
500 |a"Last updated: May 7, 2020."
504 |aIncludes bibliographical references.
5203 |a"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.
546 |aIncludes abstract in French.
650 0|aRegression analysis.
650 0|aInflation (Finance)|zUnited States.
650 0|aMonetary policy|xEconometric models.
650 6|aAnalyse de régression.
650 6|aInflation|zÉtats-Unis.
650 6|aPolitique monétaire|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2020-16.|w(CaOODSP)9.806221
85640|qPDF|s1.08 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-16-eng.pdf