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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. Francesco Lippi & Andrea Nobili, 2010. "Oil and the Macroeconomy: A Quantitative Structural Analysis," EIEF Working Papers Series 1009, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2010.
  2. 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).
  3. 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.
  4. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.
  5. 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.
  6. Deryugina, Elena & Kovalenko, Olga & Pantina, Irina & Ponomarenko, Alexey, 2015. "Disentangling loan demand and supply shocks in Russia," BOFIT Discussion Papers 8/2015, Bank of Finland, Institute for Economies in Transition.
  7. Alexander Kriwoluzky, 2009. "Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models," Economics Working Papers ECO2009/29, European University Institute.
  8. 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.
  9. 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.
  10. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
  11. Lutz Kilian & Daniel P. Murphy, 2012. "Why Agnostic Sign Restrictions Are Not Enough: Understanding The Dynamics Of Oil Market Var Models," Journal of the European Economic Association, European Economic Association, vol. 10(5), pages 1166-1188, October.
  12. 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.
  13. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute.
  14. 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.
  15. Berg, Tim Oliver, 2010. "Exploring the international transmission of U.S. stock price movements," MPRA Paper 23977, University Library of Munich, Germany.
  16. Bian, Timothy Yang & Gete, Pedro, 2014. "What drives housing dynamics in China? a sign restrictions VAR approach," Globalization and Monetary Policy Institute Working Paper 193, Federal Reserve Bank of Dallas.
  17. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2014. "An Empirical Assessment of Optimal Monetary Policy Delegation in the Euro Area," Stirling Economics Discussion Papers 2014-11, University of Stirling, Division of Economics.
  18. Jan Čapek, 2016. "Structural Changes in the Czech Economy: A DSGE Model Approach," Prague Economic Papers, University of Economics, Prague, vol. 2016(1), pages 37-52.
  19. Volha Audzei & Frantisek Brazdik, 2015. "Exchange Rate Dynamics and its Effect on Macroeconomic Volatility in Selected CEE Countries," Working Papers 2015/07, Czech National Bank, Research Department.
  20. 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.
  21. Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
  22. Troy D Matheson & Emil Stavrev, 2014. "News and Monetary Shocks at a High Frequency; A Simple Approach," IMF Working Papers 14/167, International Monetary Fund.
  23. Njindan Iyke, Bernard, 2015. "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper 69610, University Library of Munich, Germany, revised 01 Feb 2016.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. Helmut Lütkepohl & Anton Velinov, 2016. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 377-392, 04.
  30. 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.
  31. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
  32. Alfred Duncan & Charles Nolan, 2014. "Disputes, Debt and Equity," Working Papers 2014_20, Business School - Economics, University of Glasgow.
  33. Liu, Philip & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2014. "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 1-15.
  34. 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.
  35. repec:bof:bofitp:urn:nbn:fi:bof-201503111111 is not listed on IDEAS
  36. Carolina Osorio Buitron & Esteban Vesperoni, 2015. "Big Players Out of Synch; Spillovers Implications of US and Euro Area Shocks," IMF Working Papers 15/215, International Monetary Fund.
  37. Shigeru Fujita, 2011. "Dynamics of worker flows and vacancies: evidence from the sign restriction approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 89-121, January/F.
  38. Massimiliano Serati, 2008. "Trade and quality: theoretical and empirical evidence for the euro zone," LIUC Papers in Economics 206, Cattaneo University (LIUC).
  39. 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.
  40. 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.
  41. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
  42. Andreas Bachmann & Stefan Leist, 2013. "Sudden stop regimes and output: a Markov switching analysis," Diskussionsschriften dp1307, Universitaet Bern, Departement Volkswirtschaft.
  43. Gete, Pedro, 2009. "Housing Markets and Current Account Dynamics," MPRA Paper 20957, University Library of Munich, Germany, revised 24 Feb 2010.
  44. 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.
  45. Dmitry Kulikov & Aleksei Netšunajev, 2016. "Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach," Bank of Estonia Working Papers wp2015-8, Bank of Estonia, revised 19 Feb 2016.
  46. Roland Meeks, 2009. "Credit market shocks: evidence from corporate spreads and defaults," Working Papers 0906, Federal Reserve Bank of Dallas.
  47. Njindan Iyke, Bernard, 2016. "Are Monetary Policy Disturbances Important in Ghana? Some Evidence from Agnostic Identification," MPRA Paper 70205, University Library of Munich, Germany.
  48. 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).
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.