Endogenous time variation in vector autoregressions / by Danilo Leiva-Leon and Luis Uzeda.: FB3-5/2020-16E-PDF
"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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.887332&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Endogenous time variation in vector autoregressions / by Danilo Leiva-Leon and Luis Uzeda. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2020-16 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | Cover title. "Last updated: May 7, 2020." Includes bibliographical references. Includes abstract in French. |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2020. ©2020 |
| Author / Contributor | Leiva-Leon, Danilo, author. |
| Description | 1 online resource (44, 14 pages) : graphs. |
| Catalogue number |
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| Subject terms | Regression analysis. Inflation (Finance) -- United States. Monetary policy -- Econometric models. Analyse de régression. Inflation -- États-Unis. Politique monétaire -- Modèles économétriques. |
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