Exogenous uncertainty and the identification of structural vector autoregressions with external instruments
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DOI: 10.1002/jae.2736
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- Angelini, Giovanni & Fanelli, Luca, 2018. "Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments," MPRA Paper 93864, University Library of Munich, Germany, revised May 2019.
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Citations
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- Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2023. "Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 95-122, February.
- Bruns, Martin & Lütkepohl, Helmut, 2022.
"Comparison of local projection estimators for proxy vector autoregressions,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Martin Bruns & Helmut Lütkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1949, DIW Berlin, German Institute for Economic Research.
- Martin Bruns & Helmut Luetkepohl, 2021. "Comparison of Local Projection Estimators for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2021-04, School of Economics, University of East Anglia, Norwich, UK..
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"Macro uncertainty and unemployment risk,"
Economics Working Papers
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- Angelini, Giovanni & Sorge, Marco M., 2021.
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Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
- Allan W. Gregory & James McNeil & Gregor W. Smith, 2022. "US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM," Working Paper 1461, Economics Department, Queen's University.
- Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2020. "Monetary policy transmission in the United Kingdom: A high frequency identification approach," European Economic Review, Elsevier, vol. 123(C).
- Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
- Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2023.
"Are Fiscal Multipliers Estimated with Proxy‐SVARs Robust?,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 95-122, February.
- Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020. "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," "Marco Fanno" Working Papers 0257, Dipartimento di Scienze Economiche "Marco Fanno".
- Angelini, Giovanni & Caggiano, Giovanni & Castelnuovo, Efrem & Fanelli, Luca, 2020. "Are fiscal multipliers estimated with proxy-SVARs robust?," Bank of Finland Research Discussion Papers 13/2020, Bank of Finland.
- Giovanni Angelini & Giovanni Caggiano & Efrem Castelnuovo & Luca Fanelli, 2020. "Are Fiscal Multipliers Estimated with Proxy-SVARs Robust?," CESifo Working Paper Series 8438, CESifo.
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- Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," Melbourne Institute Working Paper Series wp2019n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Efrem Castelnuovo, 2019. "Domestic and Global Uncertainty: A Survey and Some New Results," CESifo Working Paper Series 7900, CESifo.
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- Efrem Castelnuovo, 2019. "Yield Curve and Financial Uncertainty: Evidence Based on US Data," CESifo Working Paper Series 7697, CESifo.
- Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "An identification and testing strategy for proxy-SVARs with weak proxies," Papers 2210.04523, arXiv.org, revised Oct 2022.
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- Emanuele Bacchiocchi & Toru Kitagawa, 2022. "Locally- but not Globally-identified SVARs," Working Papers wp1171, Dipartimento Scienze Economiche, Universita' di Bologna.
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"Identification of SVAR Models by Combining Sign Restrictions With External Instruments,"
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- Braun, Robin & Brüggemann, Ralf, 2022. "Identification of SVAR models by combining sign restrictions with external instruments," Bank of England working papers 961, Bank of England.
- Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2022.
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More about this item
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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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