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| 02636nam 2200433zi 4500 |
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| 001 | 9.887332 |
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| 003 | CaOODSP |
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| 005 | 20221107171657 |
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| 006 | m o d f |
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| 007 | cr |n||||||||| |
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| 008 | 200513t20202020oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 041 | |aeng|bfre |
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| 043 | |an-us--- |
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| 086 | 1 |aFB3-5/2020-16E-PDF |
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| 100 | 1 |aLeiva-Leon, Danilo, |eauthor. |
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| 245 | 10|aEndogenous time variation in vector autoregressions / |cby Danilo Leiva-Leon and Luis Uzeda. |
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| 264 | 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020. |
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| 264 | 4|c©2020 |
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| 300 | |a1 online resource (44, 14 pages) : |bgraphs. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-16 |
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| 500 | |aCover title. |
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| 500 | |a"Last updated: May 7, 2020." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | 3 |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. |
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| 546 | |aIncludes abstract in French. |
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| 650 | 0|aRegression analysis. |
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| 650 | 0|aInflation (Finance)|zUnited States. |
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| 650 | 0|aMonetary policy|xEconometric models. |
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| 650 | 6|aAnalyse de régression. |
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| 650 | 6|aInflation|zÉtats-Unis. |
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| 650 | 6|aPolitique monétaire|xModèles économétriques. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2020-16.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.08 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-16-eng.pdf |
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