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Citations for "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference"

by Juan F. Rubio-Ram�rez & Daniel F. Waggoner & Tao Zha

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  1. Jean-Sébastien Pentecôte, 2011. "Long-run identifying restrictions on VARs within the AS-AD framework," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201125, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
  2. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
  3. Filipa Sá & Pascal Towbin & Tomasz Wieladek, 2011. "Low interest rates and housing booms: the role of capital inflows, monetary policy and financial innovation," Globalization and Monetary Policy Institute Working Paper 79, Federal Reserve Bank of Dallas.
  4. Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
  5. Knut Are Aastveit & Hilde C. Bjoernland, 2013. "What drives oil prices? Emerging versus developed economies," CAMA Working Papers 2013-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Inoue, Atsushi & Kilian, Lutz, 2011. "Inference on Impulse Response Functions in Structural VAR Models," CEPR Discussion Papers 8419, C.E.P.R. Discussion Papers.
  7. Francesco Zanetti & Haroon Mumtaz, 2014. "Labor Market Dynamics: a Time-varying Analysis," Economics Series Working Papers 728, University of Oxford, Department of Economics.
  8. Juan F. Rubio-Ramírez & Jonas E. Arias & Daniel F. Waggoner, 2013. "Inference Based on SVARs Identied with Sign and Zero Restrictions: Theory and Applications," Working Papers 1338, BBVA Bank, Economic Research Department.
  9. Thorsten Drautzburg, 2014. "A Narrative Approach to a Fiscal DSGE Model," 2014 Meeting Papers 791, Society for Economic Dynamics.
  10. Hippolyte D'ALBIS & Dramane COULIBALY & Ekrame BOUBTANE, 2015. "Immigration Policy and Macroeconomic Performance in France," Working Papers 201505, CERDI.
  11. Edward M Feasel & Nobuyuki Kanazawa, 2013. "Sentiment toward Trading Partners and International Trade," Eastern Economic Journal, Palgrave Macmillan, vol. 39(3), pages 309-327.
  12. Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2012. "Risk, uncertainty and monetary policy," Working Paper Research 229, National Bank of Belgium.
  13. Habib, Maurizio Michael & Stracca, Livio, 2011. "Getting beyond carry trade: what makes a safe haven currency?," Working Paper Series 1288, European Central Bank.
  14. Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers 8720, C.E.P.R. Discussion Papers.
  15. Bognanni, Mark & Herbst, Edward, 2014. "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Paper 1427, Federal Reserve Bank of Cleveland.
  16. Martin Fukac, 2010. "Impulse response identification in DSGE models," Research Working Paper RWP 10-07, Federal Reserve Bank of Kansas City.
  17. Christiane Baumeister & James D. Hamilton, 2014. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information," NBER Working Papers 20741, National Bureau of Economic Research, Inc.
  18. Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2015. "Spillovers from Euro Area and U.S. Credit and Demand Shocks: Comparing Emerging Europe on the Basis of a GVAR Model," Working Papers 198, Oesterreichische Nationalbank (Austrian Central Bank).
  19. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  20. Glocker, Ch. & Towbin P., 2012. "The Macroeconomic Effects of Reserve Requirements," Working papers 374, Banque de France.
  21. Nikolay Arefiev, 2014. "A Theory Of Data-Oriented Identification With A Svar Application," HSE Working papers WP BRP 79/EC/2014, National Research University Higher School of Economics.
  22. Michael T. Kiley & Jae W. Sim, 2011. "Financial capital and the macroeconomy: a quantitative framework," Finance and Economics Discussion Series 2011-27, Board of Governors of the Federal Reserve System (U.S.).
  23. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
  24. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," Working Paper 2014/09, Norges Bank.
  25. Koop, Gary & Pesaran, M. Hashem & Smith, Ron P., 2011. "On Identification of Bayesian DSGE Models," SIRE Discussion Papers 2011-18, Scottish Institute for Research in Economics (SIRE).
  26. Canova, Fabio & Pérez Forero, Fernando J., 2014. "Estimating overidentified, non-recursive, time varying coefficients structural VARs," CEPR Discussion Papers 10022, C.E.P.R. Discussion Papers.
  27. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  28. Michal Franta & Roman Horvath & Marek Rusnak, 2011. "Evaluating Changes in the Monetary Transmission Mechanism in the Czech Republic," Working Papers 2011/13, Czech National Bank, Research Department.
  29. Luigi Paciello, 2011. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(8), pages 1663-1684, December.
  30. Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2011. "The world is not enough! Small open economies and regional dependence," Working Papers 0005, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  31. Kociecki, Andrzej, 2013. "Further Results on Identification of Structural VAR Models," MPRA Paper 46536, University Library of Munich, Germany.
  32. Jarocinski, Marek & Mackowiak, Bartosz Adam, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, C.E.P.R. Discussion Papers.
  33. Anzuini, Alessio & Lombardi, Marco J. & Pagano, Patrizio, 2010. "The impact of monetary policy shocks on commodity prices," Working Paper Series 1232, European Central Bank.
  34. Yohei Yamamoto, 2012. "Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions," Global COE Hi-Stat Discussion Paper Series gd12-249, Institute of Economic Research, Hitotsubashi University.
  35. Canova, Fabio & Paustian, Matthias, 2011. "Business cycle measurement with some theory," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 345-361.
  36. Gete, Pedro, 2015. "Housing markets and current account dynamics," Globalization and Monetary Policy Institute Working Paper 221, Federal Reserve Bank of Dallas.
  37. repec:dgr:uvatin:2011145 is not listed on IDEAS
  38. Alessandro Gobbi & Tim Willems, 2011. "Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries," Tinbergen Institute Discussion Papers 11-145/2, Tinbergen Institute.
  39. Andersson, Michael K. & Palmqvist, Stefan & Waggoner, Daniel F., 2010. "Density-Conditional Forecasts in Dynamic Multivariate Models," Working Paper Series 247, Sveriges Riksbank (Central Bank of Sweden).
  40. Christian Glocker & Pascal Towbin, 2012. "The Macroeconomic Effects Of Reserve Requirements," EcoMod2012 3850, EcoMod.
  41. Dario Caldara & Christophe Kamps, 2012. "The analytics of SVARs: a unified framework to measure fiscal multipliers," Finance and Economics Discussion Series 2012-20, Board of Governors of the Federal Reserve System (U.S.).
  42. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
  43. Pérez-Forero, Fernando & Vega, Marco, 2014. "The Dynamic Effects of Interest Rates and Reserve Requirements," Working Papers 2014-018, Banco Central de Reserva del Perú.
  44. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel
    [The sectoral effects of monetary policy in Hungary: a structural factor]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
  45. Eickmeier, Sandra & Lombardi, Marco J., 2012. "Monetary policy and the oil futures market," Discussion Papers 35/2012, Deutsche Bundesbank, Research Centre.
  46. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2015. "Financial frictions and global spillovers," Discussion Papers 04/2015, Deutsche Bundesbank, Research Centre.
  47. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," Working Paper 2014-21, Federal Reserve Bank of Atlanta.
  48. Eickmeier, Sandra & Kühnlenz, Markus, 2013. "China's role in global inflation dynamics," Discussion Papers 07/2013, Deutsche Bundesbank, Research Centre.
  49. Schüler, Yves S. & Fink, Fabian, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79692, Verein für Socialpolitik / German Economic Association.
  50. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers 453, Bank of England.
  51. Firew B Woldeyes, 2013. "Long-run Effects of Resource Rents in Developing Countries: The role of public investment management," OxCarre Working Papers 105, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  52. Irina Zviadadze, 2014. "Term-structure of consumption risk premia in the cross-section of currency returns," 2014 Meeting Papers 1075, Society for Economic Dynamics.
  53. Leif Anders Thorsrud, 2013. "Global and regional business cycles. Shocks and propagations," Working Papers 0012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  54. Darracq Pariès, Matthieu & De Santis, Roberto A., 2013. "A non-standard monetary policy shock: the ECB’s 3-year LTROs and the shift in credit supply," Working Paper Series 1508, European Central Bank.
  55. Villarreal, Francisco G., 2014. "Monetary Policy and Inequality in Mexico," MPRA Paper 57074, University Library of Munich, Germany.
  56. Carvallo, Oscar & Pagliacci, Carolina, 2013. "Macroeconomic Shocks, Housing Market and Banks’ Performance in Venezuela," MPRA Paper 58711, University Library of Munich, Germany, revised Jul 2014.
  57. Dario Caldara & Christophe Kamps, 2010. "The analytics of the sign restriction approach to shock identification: a framework for understanding the empirical macro puzzles," 2010 Meeting Papers 335, Society for Economic Dynamics.
  58. Noss, Joseph & Toffano, Priscilla, 2014. "Estimating the impact of changes in aggregate bank capital requirements during an upswing," Bank of England working papers 494, Bank of England.
  59. Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2014. "What do VARs Tell Us about the Impact of a Credit Supply Shock? An Empirical Analysis," Working Papers 716, Queen Mary University of London, School of Economics and Finance.
  60. Jonas E. Arias & Dario Caldara & Juan F. Rubio-Ramírez, 2014. "The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure," Working Papers 2014-13, FEDEA.
  61. Fornari, Fabio & Stracca, Livio, 2013. "What does a financial shock do? First international evidence," Working Paper Series 1522, European Central Bank.
  62. Luca Benati & Thomas A Lubik, 2012. "Sales, Inventories, and Real Interest Rates: A Century of Stylized Facts," CAMA Working Papers 2012-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  63. Tim Berg, 2012. "Did monetary or technology shocks move euro area stock prices?," Empirical Economics, Springer, vol. 43(2), pages 693-722, October.
  64. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
  65. Arias, Jonas E. & Rubio-Ramírez, Juan Francisco & Waggoner, Daniel F, 2014. "Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications," CEPR Discussion Papers 9796, C.E.P.R. Discussion Papers.
  66. Hyungsik Roger Moon & Frank Schorfheide & Eleonara Granziera & Mihye Lee, 2011. "Inference for VARs identified with sign restrictions," Working Papers 11-20, Federal Reserve Bank of Philadelphia.
  67. Gambetti, Luca & Musso, Alberto, 2012. "Loan supply shocks and the business cycle," Working Paper Series 1469, European Central Bank.
  68. Bai, Jushan & Wang, Peng, 2014. "Identification theory for high dimensional static and dynamic factor models," Journal of Econometrics, Elsevier, vol. 178(2), pages 794-804.
  69. Bettendorf, Timo, 2013. "Feeding the Global VAR with theory: Is German wage moderation to blame for European imbalances?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79710, Verein für Socialpolitik / German Economic Association.
  70. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers CWP55/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  71. Gehrke, Britta & Yao, Fang, 2014. "Phillips curve shocks and real exchange rate fluctuations: SVAR evidence," IWQW Discussion Paper Series 11/2014, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).
  72. Taya Dumrongrittikul & Heather Anderson & Farshid Vahid, 2014. "The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective," Monash Econometrics and Business Statistics Working Papers 23/14, Monash University, Department of Econometrics and Business Statistics.
  73. Kociecki, Andrzej, 2013. "Towards Understanding the Normalization in Structural VAR Models," MPRA Paper 47645, University Library of Munich, Germany.
  74. Juvenal, Luciana & Petrella, Ivan, 2014. "Speculation in the Oil Market," CEPR Discussion Papers 9808, C.E.P.R. Discussion Papers.
  75. Melolinna, Marko, 2012. "Macroeconomic shocks in an oil market var," Working Paper Series 1432, European Central Bank.
  76. Claudia M. Buch & Sandra Eickmeier & Esteban Prieto, 2010. "Macroeconomic Factors and Micro-Level Bank Risk," CESifo Working Paper Series 3194, CESifo Group Munich.
  77. Ciccarelli, Matteo & Maddaloni, Angela & Peydró, José-Luis, 2013. "Heterogeneous transmission mechanism: monetary policy and financial fragility in the euro area," Working Paper Series 1527, European Central Bank.
  78. Gulan, Adam & Haavio, Markus & Kilponen, Juha, 2014. "Kiss me deadly: From Finnish great depression to great recession," Research Discussion Papers 24/2014, Bank of Finland.
  79. Juan Rubio-Ramirez & Daniel Waggoner & Jonas Arias, 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," 2014 Meeting Papers 1199, Society for Economic Dynamics.
  80. Fabio Canova & Fernando J. P�rez Forero, 2012. "Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs," Working Papers 637, Barcelona Graduate School of Economics.
  81. Dmitry Kulikov & Aleksei Netšunajev, 2013. "Identifying monetary policy shocks via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2013-9, Bank of Estonia, revised 09 Dec 2013.
  82. Tomasz Wieladek & Sergi Lanau, 2012. "Financial Regulation and the Current Account," IMF Working Papers 12/98, International Monetary Fund.
  83. Fabian Fink & Yves S. Schüler, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," Working Paper Series of the Department of Economics, University of Konstanz 2013-01, Department of Economics, University of Konstanz.
  84. Tatjana Dahlhaus & Garima Vasishtha, 2014. "The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies," Working Papers 14-53, Bank of Canada.
  85. Andrew P Blake & Haroon Mumtaz, 2012. "Applied Bayesian econometrics for central bankers," Technical Books, Centre for Central Banking Studies, Bank of England, edition 1, number 4, December.
  86. Pagliacci, Carolina, 2014. "Latin American Performance to External Shocks: What Has Really Been Sweat?," MPRA Paper 57816, University Library of Munich, Germany.
  87. Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
  88. IIBOSHI Hirokuni, 2012. "Measuring the Effects of Monetary Policy: A DSGE-DFM Approach," ESRI Discussion paper series 292, Economic and Social Research Institute (ESRI).
  89. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (the central bank of Hungary).
  90. Hairault, Jean-Olivier & Zhutova, Anastasia, 2014. "The Cyclicality of Labor Market Flows: A Multiple-Shock Approach," IZA Discussion Papers 8558, Institute for the Study of Labor (IZA).
  91. repec:dgr:uvatin:20110145 is not listed on IDEAS
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