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Structural vector autoregression with time varying transition probabilities: identifying uncertainty shocks via changes in volatility

Author

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  • Wenjuan Chen
  • Aleksei Netsunajev

Abstract

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Suggested Citation

  • Wenjuan Chen & Aleksei Netsunajev, 2018. "Structural vector autoregression with time varying transition probabilities: identifying uncertainty shocks via changes in volatility," Bank of Estonia Working Papers wp2018-02, Bank of Estonia, revised 13 Feb 2018.
    • Handle: RePEc:eea:boewps:wp2018-02
    DOI: 10.23656/25045520/022018/0153
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    File URL: http://dx.doi.org/10.23656/25045520/022018/0153
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    Cited by:

    1. Niels Gillmann & Ostap Okhrin, 2023. "Adaptive local VAR for dynamic economic policy uncertainty spillover," Papers 2302.02808, arXiv.org.
    2. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.

    More about this item

    Keywords

    structural vector autoregression; Markov switching; time varying transition probabilities; identification via heteroscedasticity; uncertainty shocks; unemployment dynamics;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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