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Constructing Structural VAR Models with Conditional Independence Graphs

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Author Info
Les Oxley () (University of Canterbury)
Marco Reale
Granville Tunnicliffe Wilson

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Abstract

In this paper graphical modelling is used to select a sparse structure for a multivariate time series model of New Zealand interest rates. In particular, we consider a recursive structural vector autoregressions that can subsequently be described parsimoniously by a directed acyclic graph, which could be given a causal interpretation. A comparison between competing models is then made by considering likelihood and economic theory.

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File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/0819.pdf
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Publisher Info
Paper provided by University of Canterbury, Department of Economics in its series Working Papers in Economics with number 08/19.

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Length: 12 pages
Date of creation: 28 Nov 2008
Date of revision:
Handle: RePEc:cbt:econwp:08/19

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Related research
Keywords: Graphical models; directed acyclic graphs; term structure; causality.;

Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Melino, Angelo, 1988. " The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Blackwell Publishing, vol. 2(4), pages 335-66.
    Other versions:
  2. Bagliano, Fabio C. & Favero, Carlo A., 1998. "Measuring monetary policy with VAR models: An evaluation," European Economic Review, Elsevier, vol. 42(6), pages 1069-1112, June. [Downloadable!] (restricted)
    Other versions:
  3. Tom Engsted & Ken Nyholm, 2000. "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, vol. 25(1), pages 1-13. [Downloadable!] (restricted)
  4. Drakos, Konstantinos, 2003. "The term structure of deviations from the interest parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 57-67, February. [Downloadable!] (restricted)
  5. David Archer & Andy Brookes & Michael Reddell, 1999. "A cash rate system for implementing monetary policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 62, March. [Downloadable!]
  6. Steffen L. Lauritzen & Thomas S. Richardson, 2002. "Chain graph models and their causal interpretations," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 321-348. [Downloadable!] (restricted)
  7. Camarero, M & Ordonez, J & Tamarit, C R, 2002. "Monetary Transmission in Spain: A Structural Cointegrated VAR Approach," Applied Economics, Taylor and Francis Journals, vol. 34(17), pages 2201-12, November. [Downloadable!] (restricted)
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