Identifying Monetary Policy Shocks via Changes in Volatility
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- Markku Lanne & Helmut Lütkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
- Markku Lanne & Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," CESifo Working Paper Series 1744, CESifo.
- Tom Doan, "undated". "RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts," Statistical Software Components RTZ00109, Boston College Department of Economics.
- Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute.
References listed on IDEAS
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"Identifying Monetary Policy Shocks via Changes in Volatility,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
- Markku Lanne & Helmut L‹Tkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, September.
- Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute.
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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
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