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Structural approaches to vector autoregressions

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  • John W. Keating

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  • John W. Keating, 1992. "Structural approaches to vector autoregressions," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 37-57.
    • Handle: RePEc:fip:fedlrv:y:1992:i:sep:p:37-57
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    Citations

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    Cited by:

    1. Ulibarri, Carlos A., 1998. "Is after-hours trading informative?," MPRA Paper 14818, University Library of Munich, Germany.
    2. Fisher, Lance A. & Huh, Hyeon-Seung & Summers, Peter M., 2000. "Structural Identification of Permanent Shocks in VEC Models: A Generalization," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 53-68, January.
    3. Saito, Jun, 1997. "The Japanese business cycle after 1991: How is it different, and why?," Journal of Asian Economics, Elsevier, vol. 8(2), pages 263-293.
    4. Rostom,Ahmed Mohamed Tawfick, 2016. "Money demand in the Arab Republic of Egypt : a vector equilibrium correction model," Policy Research Working Paper Series 7679, The World Bank.
    5. Ben Fung & Rohit Gupta, "undated". "Searching for the Liquidity Effect in Canada," Staff Working Papers 94-12, Bank of Canada.
    6. Boeing, Philipp & Eberle, Jonathan & Howell, Anthony, 2022. "The impact of China's R&D subsidies on R&D investment, technological upgrading and economic growth," Technological Forecasting and Social Change, Elsevier, vol. 174(C).
    7. Kumar, V. & Leone, Robert P. & Gaskins, John N., 1995. "Aggregate and disaggregate sector forecasting using consumer confidence measures," International Journal of Forecasting, Elsevier, vol. 11(3), pages 361-377, September.
    8. Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554, Edward Elgar Publishing.
    9. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.
    10. Rapach, David E., 2001. "Macro shocks and real stock prices," Journal of Economics and Business, Elsevier, vol. 53(1), pages 5-26.
    11. Razmi, Fatemeh & Azali, M. & Chin, Lee & Shah Habibullah, Muzafar, 2016. "The role of monetary transmission channels in transmitting oil price shocks to prices in ASEAN-4 countries during pre- and post-global financial crisis," Energy, Elsevier, vol. 101(C), pages 581-591.
    12. Prof. Neil D. Karunaratne, 2002. "Microeconomic Shocks, Depreciation and Inflation: an Australian Perspective," Discussion Papers Series 298, School of Economics, University of Queensland, Australia.
    13. Chen, Zhengyang & Valcarcel, Victor J., 2021. "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    14. Mark S. Astley & Anthony Garratt, 2000. "Exchange Rates and Prices: Sources of Sterling Real Exchange Rate Fluctuations 1973–94," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(4), pages 491-509, September.
    15. Jan Jacobs & Albert van der Horst,, 1996. "VAR-ing the economy of the Netherlands," Working Papers 24, Centre for Economic Research, University of Groningen and University of Twente.
    16. Valcarcel, Victor J., 2012. "The dynamic adjustments of stock prices to inflation disturbances," Journal of Economics and Business, Elsevier, vol. 64(2), pages 117-144.
    17. Stilianos Fountas & Agapitos Papagapitos, 1997. "Policy Effectiveness in the Post-ERM Era: Evidence from Six Countries," Open Economies Review, Springer, vol. 8(2), pages 189-201, April.
    18. Laopodis, Nikiforos T., 2009. "Are fundamentals still relevant for European economies in the post-Euro period?," Economic Modelling, Elsevier, vol. 26(5), pages 835-850, September.
    19. Funke, Michael, 1997. "How important are demand and supply shocks in explaining German business cycles?: New evidence on an old debate," Economic Modelling, Elsevier, vol. 14(1), pages 11-37, January.
    20. Dutta Roy, Sudipta & Darbha, Gangadhar, 2000. "Dynamics of money, output and price interaction -- some Indian evidence," Economic Modelling, Elsevier, vol. 17(4), pages 559-588, December.
    21. Rafael Ravnik & Ivan Zilic, 2011. "The use of SVAR analysis in determining the effects of ?scal shocks in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 35(1), pages 25-58.

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    Keywords

    Vector autoregression;

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