Identifying VARs through Heterogeneity: An Application to Bank Runs
We propose to incorporate cross-sectional heterogeneity into structural VARs. Heterogeneity provides an additional dimension along which one can identify structural shocks and perform hypothesis tests. We provide an application to bank runs, based on microeconomic deposit market data. We impose identification restrictions both in the cross-section (across insured and non-insured banks) and across variables (as in macro SVARs). We thus (i) identify bank runs, (ii) quantify the contribution of competing theories, and, (iii) evaluate policies such as deposit insurance. The application suggests substantial promise for the approach and has strong policy implications.
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- Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha, 2006.
"Markov-Switching Structural Vector Autoregressions: Theory and Application,"
Computing in Economics and Finance 2006
69, Society for Computational Economics.
- Juan Francisco Rubio-Ramírez & Daniel Waggoner & Tao Zha, 2005. "Markov-switching structural vector autoregressions: theory and application," Working Paper 2005-27, Federal Reserve Bank of Atlanta.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent & Mark Watson, 2006.
"A,B,C's (and D's)'s for Understanding VARS,"
321307000000000646, UCLA Department of Economics.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 172782000000000096, UCLA Department of Economics.
- Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A, B, C’s (And D’s) For Understanding VARS," PIER Working Paper Archive 05-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Thomas J. Sargent, 2005. "A, B, C's (and D)'s for Understanding VARs," NBER Technical Working Papers 0308, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," Working Paper 2005-09, Federal Reserve Bank of Atlanta.
- Demirguc-Kunt, Asli & Huizinga, Harry, 2004. "Market discipline and deposit insurance," Journal of Monetary Economics, Elsevier, vol. 51(2), pages 375-399, March.
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