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Citations for "Markov-Switching Structural Vector Autoregressions: Theory and Application"

by Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha

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  1. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta.
  2. Kilian, Lutz & Murphy, Daniel P, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers 7471, C.E.P.R. Discussion Papers.
  3. Lutz Kilian & Daniel P. Murphy, 2014. "The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 454-478, 04.
  4. Shigeru Fujita, 2009. "Dynamics of worker flows and vacancies: evidence from the sign restriction approach," Working Papers 07-12, Federal Reserve Bank of Philadelphia.
  5. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
  6. Enders, Zeno & Müller, Gernot & Scholl, Almuth, 2010. "How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States," CEPR Discussion Papers 7732, C.E.P.R. Discussion Papers.
  7. Busch, Ulrike & Scharnagl, Michael & Scheithauer, Jan, 2010. "Loan supply in Germany during the financial crisis," Discussion Paper Series 1: Economic Studies 2010,05, Deutsche Bundesbank, Research Centre.
  8. Gete, Pedro, 2009. "Housing Markets and Current Account Dynamics," MPRA Paper 20957, University Library of Munich, Germany, revised 24 Feb 2010.
  9. Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers 2010-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  10. Nikolaychuk Sergiy & Shapovalenko Nadiia, 2013. "The identification of the sources of current account fluctuations in Ukraine," EERC Working Paper Series 13/12e, EERC Research Network, Russia and CIS.
  11. Xiaoshan Chen & Tatiana Kirsanova & Campbell Leith, 2014. "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," Working Papers 2014_20, Business School - Economics, University of Glasgow.
  12. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
  13. Luigi Paciello, 2009. "Does Inflation Adjust Faster to Aggregate Technology Shocks than to Monetary Policy Shocks?," EIEF Working Papers Series 0917, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2011.
  14. Mardi Dungey & Renee Fry, 2007. "The Identification Of Fiscal And Monetary Policy In A Structural Var," CAMA Working Papers 2007-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  15. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
  16. Alexander Kriwoluzky, 2008. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," SFB 649 Discussion Papers SFB649DP2008-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
  18. Matheson, Troy & Stavrev, Emil, 2014. "News and monetary shocks at a high frequency: A simple approach," Economics Letters, Elsevier, vol. 125(2), pages 282-286.
  19. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften dp1307, Universitaet Bern, Departement Volkswirtschaft.
  20. Barnett, Alina & Thomas, Ryland, 2013. "Has weak lending and activity in the United Kingdom been driven by credit supply shocks?," Bank of England working papers 482, Bank of England.
  21. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, 04.
  22. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
  23. Massimiliano Serati, 2008. "Trade and quality: theoretical and empirical evidence for the euro zone," LIUC Papers in Economics 206, Cattaneo University (LIUC).
  24. Francesco Lippi & Andrea Nobili, 2012. "Oil And The Macroeconomy: A Quantitative Structural Analysis," Journal of the European Economic Association, European Economic Association, vol. 10(5), pages 1059-1083, October.
  25. Lippi, Francesco & Nobili, Andrea, 2008. "Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions," CEPR Discussion Papers 6830, C.E.P.R. Discussion Papers.
  26. Volha Audzei & Frantisek Brazdik, 2012. "Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber," Working Papers 2012/09, Czech National Bank, Research Department.
  27. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
  28. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2011. "International transmission of shocks: a time-varying factor-augmented VAR approach to the open economy," Bank of England working papers 425, Bank of England.
  29. 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.
  30. De Graeve, Ferre & Karas, Alexei, 2010. "Identifying VARs through Heterogeneity: An Application to Bank Runs," Working Paper Series 244, Sveriges Riksbank (Central Bank of Sweden).
  31. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
  32. Guerron-Quintana, Pablo A. & Inoue, Atsushi & Kilian, Lutz, 2009. "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers 7447, C.E.P.R. Discussion Papers.
  33. Deryugina, Elena B. & Ponomarenko, Alexey A., 2011. "Identifying structural shocks behind loan supply fluctuations in Russia," BOFIT Discussion Papers 20/2011, Bank of Finland, Institute for Economies in Transition.
  34. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
  35. Berg, Tim Oliver, 2010. "Exploring the international transmission of U.S. stock price movements," MPRA Paper 23977, University Library of Munich, Germany.
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