Working Paper: CEPR ID: DP10022
Authors: Fabio Canova; Fernando J. Pérez Forero
Abstract: This paper provides a general procedure to estimate structural VARs. The algorithm can be used in constant or time varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with just-identified (recursive or non-recursive) or overidentified systems where identification restrictions are of linear or of non-linear form. We study the transmission of monetary policy shocks in models with time varying and time invariant parameters.
Keywords: Identification restrictions; Metropolis algorithm; Monetary transmission mechanism; Time-varying coefficient structural VAR models
JEL Codes: C11; E51; E52
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| time variations in the variance of monetary policy shocks (E39) | transmission mechanisms over time (C32) |
| propagation of policy shocks (C54) | economic responses to these shocks across different decades (E65) |
| long and short-run identification restrictions (C50) | transmission of monetary policy shocks in the 2000s (E52) |
| alternative laws of motion for volatility (C69) | implications for the transmission of monetary policy shocks (F42) |
| structure of the model and assumptions made (C51) | implications for the results (C20) |