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Citations for "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference"

by Juan F. Rubio-Ram�rez & Daniel F. Waggoner & Tao Zha

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  1. Juvenal, Luciana & Petrella, Ivan, 2014. "Speculation in the Oil Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9808, C.E.P.R. Discussion Papers.
  2. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  3. Knut Are Aastveit & Hilde C. Bjoernland, 2013. "What drives oil prices? Emerging versus developed economies," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2013-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Hyungsik Roger Moon & Frank Schorfheide & Eleonara Granziera & Mihye Lee, 2011. "Inference for VARs identified with sign restrictions," Working Papers 11-20, Federal Reserve Bank of Philadelphia.
  5. Habib, Maurizio M. & Stracca, Livio, 2012. "Getting beyond carry trade: What makes a safe haven currency?," Journal of International Economics, Elsevier, Elsevier, vol. 87(1), pages 50-64.
  6. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers, Banque de France 235, Banque de France.
  7. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers, CEPREMAP 30, CEPREMAP.
  8. Eickmeier, Sandra & Lombardi, Marco J., 2012. "Monetary policy and the oil futures market," Discussion Papers, Deutsche Bundesbank, Research Centre 35/2012, Deutsche Bundesbank, Research Centre.
  9. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  10. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  11. Bettendorf, Timo, 2013. "Feeding the Global VAR with theory: Is German wage moderation to blame for European imbalances?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association 79710, Verein für Socialpolitik / German Economic Association.
  12. Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2011. "On Identification of Bayesian DSGE Models," CESifo Working Paper Series, CESifo Group Munich 3423, CESifo Group Munich.
  13. Fabio Canova & Fernando J. P�rez Forero, 2012. "Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs," Working Papers, Barcelona Graduate School of Economics 637, Barcelona Graduate School of Economics.
  14. Kociecki, Andrzej, 2013. "Further Results on Identification of Structural VAR Models," MPRA Paper 46536, University Library of Munich, Germany.
  15. Pagliacci, Carolina, 2014. "Latin American Performance to External Shocks: What Has Really Been Sweat?," MPRA Paper 57816, University Library of Munich, Germany.
  16. Filipa Sá & Pascal Towbin & Tomasz Wieladek, 2011. "Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 79, Federal Reserve Bank of Dallas.
  17. Alessio Anzuini & Marco J. Lombardi & Patrizio Pagano, 2012. "The impact of monetary policy shocks on commodity prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 851, Bank of Italy, Economic Research and International Relations Area.
  18. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(4), pages 345-361.
  19. Atsushi Inoue & Lutz Kilian, 2013. "Inference on Impulse Response Functions in Structural VAR Models," TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University 307, Graduate School of Economics and Management, Tohoku University.
  20. Michal Franta & Roman Horvath & Marek Rusnak, 2011. "Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic," Working Papers, Czech National Bank, Research Department 2011/13, Czech National Bank, Research Department.
  21. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2010. "Risk, Uncertainty and Monetary Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8154, C.E.P.R. Discussion Papers.
  22. Edward M Feasel & Nobuyuki Kanazawa, 2013. "Sentiment toward Trading Partners and International Trade," Eastern Economic Journal, Palgrave Macmillan, Palgrave Macmillan, vol. 39(3), pages 309-327.
  23. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2012/1, Magyar Nemzeti Bank (the central bank of Hungary).
  24. repec:dgr:uvatin:2011145 is not listed on IDEAS
  25. Schüler, Yves S. & Fink, Fabian, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association 79692, Verein für Socialpolitik / German Economic Association.
  26. Luigi Paciello, 2009. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) 0917, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2011.
  27. Andrew P Blake & Haroon Mumtaz, 2012. "Applied Bayesian econometrics for central bankers," Technical Books, Centre for Central Banking Studies, Bank of England, Centre for Central Banking Studies, Bank of England, edition 1, number 4.
  28. Claudia M. Buch & Sandra Eickmeier & Esteban Prieto, 2014. "Macroeconomic Factors and Microlevel Bank Behavior," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 46(4), pages 715-751, 06.
  29. Dario Caldara & Christophe Kamps, 2012. "The analytics of SVARs: a unified framework to measure fiscal multipliers," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-20, Board of Governors of the Federal Reserve System (U.S.).
  30. Ciccarelli, Matteo & Maddaloni, Angela & Peydró, José-Luis, 2013. "Heterogeneous transmission mechanism: monetary policy and financial fragility in the euro area," Working Paper Series, European Central Bank 1527, European Central Bank.
  31. Dmitry Kulikov & Aleksei Netšunajev, 2013. "Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers, Bank of Estonia wp2013-9, Bank of Estonia, revised 09 Dec 2013.
  32. Pentecôte, J.-S., 2010. "Long-run identifying restrictions on VARs within the AS-AD framework," MPRA Paper 34660, University Library of Munich, Germany.
  33. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
  34. Fornari, Fabio & Stracca, Livio, 2013. "What does a financial shock do? First international evidence," Working Paper Series, European Central Bank 1522, European Central Bank.
  35. Guerron-Quintana, Pablo A. & Inoue, Atsushi & Kilian, Lutz, 2009. "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7447, C.E.P.R. Discussion Papers.
  36. Bai, Jushan & Wang, Peng, 2014. "Identification theory for high dimensional static and dynamic factor models," Journal of Econometrics, Elsevier, Elsevier, vol. 178(2), pages 794-804.
  37. Glocker, Ch. & Towbin P., 2012. "The Macroeconomic Effects of Reserve Requirements," Working papers, Banque de France 374, Banque de France.
  38. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers, Deutsche Bundesbank, Research Centre 03/2013, Deutsche Bundesbank, Research Centre.
  39. Noss, Joseph & Toffano, Priscilla, 2014. "Estimating the impact of changes in aggregate bank capital requirements during an upswing," Bank of England working papers, Bank of England 494, Bank of England.
  40. Tomasz Wieladek & Sergi Lanau, 2012. "Financial Regulation and the Current Account," IMF Working Papers, International Monetary Fund 12/98, International Monetary Fund.
  41. Luca Benati & Thomas A Lubik, 2012. "Sales, Inventories, and Real Interest Rates: A Century of Stylized Facts," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 2012-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  42. Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8720, C.E.P.R. Discussion Papers.
  43. Samad Sarferaz & Francesco Furlanetto & Francesco Furlanetto, 2014. "Identification of Financial Factors in Economic Fluctuations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 14-364, KOF Swiss Economic Institute, ETH Zurich.
  44. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP55/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  45. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2011. "The world is not enough! Small open economies and regional dependence," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School 0005, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  46. Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series, European Central Bank 1600, European Central Bank.
  47. Andersson, Michael K. & Palmqvist, Stefan & Waggoner, Daniel F., 2010. "Density-Conditional Forecasts in Dynamic Multivariate Models," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) 247, Sveriges Riksbank (Central Bank of Sweden).
  48. Gambetti, Luca & Musso, Alberto, 2012. "Loan supply shocks and the business cycle," Working Paper Series, European Central Bank 1469, European Central Bank.
  49. Villarreal, Francisco G., 2014. "Monetary Policy and Inequality in Mexico," MPRA Paper 57074, University Library of Munich, Germany.
  50. Darracq Pariès, Matthieu & De Santis, Roberto A., 2013. "A non-standard monetary policy shock: the ECB’s 3-year LTROs and the shift in credit supply," Working Paper Series, European Central Bank 1508, European Central Bank.
  51. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-249, Institute of Economic Research, Hitotsubashi University.
  52. Martin Fukac, 2009. "Impulse Response Identification in DSGE Models," Reserve Bank of New Zealand Discussion Paper Series DP2009/14, Reserve Bank of New Zealand.
  53. Firew B Woldeyes, 2013. "Long-run Effects of Resource Rents in Developing Countries: The role of public investment management," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford 105, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  54. Kociecki, Andrzej, 2013. "Towards Understanding the Normalization in Structural VAR Models," MPRA Paper 47645, University Library of Munich, Germany.
  55. Leif Anders Thorsrud, 2013. "Global and regional business cycles. Shocks and propagations," Working Paper, Norges Bank 2013/08, Norges Bank.
  56. Alessandro Gobbi & Tim Willems, 2011. "Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries," Tinbergen Institute Discussion Papers, Tinbergen Institute 11-145/2, Tinbergen Institute.
  57. Melolinna, Marko, 2012. "Macroeconomic shocks in an oil market var," Working Paper Series, European Central Bank 1432, European Central Bank.
  58. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8515, C.E.P.R. Discussion Papers.
  59. Dario Caldara & Christophe Kamps, 2010. "The analytics of the sign restriction approach to shock identification: a framework for understanding the empirical macro puzzles," 2010 Meeting Papers, Society for Economic Dynamics 335, Society for Economic Dynamics.
  60. Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2014. "What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis," Working Papers, Queen Mary, University of London, School of Economics and Finance 716, Queen Mary, University of London, School of Economics and Finance.
  61. Eickmeier, Sandra & Kühnlenz, Markus, 2013. "China's role in global inflation dynamics," Discussion Papers, Deutsche Bundesbank, Research Centre 07/2013, Deutsche Bundesbank, Research Centre.
  62. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers, Bank of England 453, Bank of England.
  63. Fabian Fink & Yves S. Schüler, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2013-01, Department of Economics, University of Konstanz.
  64. Michael T. Kiley & Jae W. Sim, 2011. "Financial capital and the macroeconomy: a quantitative framework," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-27, Board of Governors of the Federal Reserve System (U.S.).
  65. Tim Berg, 2012. "Did monetary or technology shocks move euro area stock prices?," Empirical Economics, Springer, Springer, vol. 43(2), pages 693-722, October.