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Estimating overidentified, nonrecursive, time-varying coefficients structural VARs

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  • Fabio Canova
  • Fernando J. Pérez Forero

Abstract

This paper provides a method to estimate time varying coefficients structural VARs which are non-recursive and potentially overidentified. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to estimate structural models with different identification restrictions. We study the transmission of monetary policy shocks and compare the results with those obtained with traditional methods.

Suggested Citation

  • Fabio Canova & Fernando J. Pérez Forero, 2012. "Estimating overidentified, nonrecursive, time-varying coefficients structural VARs," Economics Working Papers 1321, Department of Economics and Business, Universitat Pompeu Fabra.
    • Handle: RePEc:upf:upfgen:1321
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel vector autoregressive models: a survey," Working Paper Series 1507, European Central Bank.
    2. Khalfan, Twahir M. & Wendt, Stefan, 2020. "The impact of ownership concentration on payout across Nordic firms," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    3. Carrera, César & Pérez-Forero, Fernando & Ramírez-Rondán, Nelson, 2014. "Effects of the U.S. quantitative easing on the Peruvian economy," Working Papers 2014-017, Banco Central de Reserva del Perú.

    More about this item

    Keywords

    Non-recursive overidentified SVARs; Time-varying coefficient models; Bayesian methods; Monetary transmission mechanism;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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