Results 131 to 140 of about 869 (166)

Conditional forecasts on SVAR models using the Kalman filter

Economics Letters, 2012
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On the econometric modelling of consumer sentiment shocks in SVARs

Empirical Economics, 2016
This paper applies recently developed methods for modelling systems of I(0) and I(1) variables to SVARs of consumer sentiment. We first model the shock associated with the structural equation for the I(0) consumer sentiment variable as having a permanent effect on the I(1) variables. Here it appears to convey news about future productivity.
Lance A. Fisher, Hyeon-seung Huh
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A New Keynesian SVAR model of the Australian economy

Economic Modelling, 2011
Abstract We estimate an SVAR model for the Australian economy based on an open economy New Keynesian model that accounts for the forward-looking behaviour exhibited by economic agents. Deep structural parameters are identified by placing exclusion restrictions on the VAR residuals and the covariance matrix.
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International SVAR Factor Modelling

2002
Models of Australia proxy international linkages using the US, despite Japan being an equivalent trading partner. This paper uses a Kahnan filter to extract US and Japanese reference cycles which are then used in an SVAR model of the Australian economy.
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A Structural Vector Autorgressive (SVAR) model for the Hungarian labour market [PDF]

, 2010
This paper presents a Structural Vector Autoregressive (SVAR) model with particular attention to the Hungarian labour market. The identification of structural shocks is based on sign restrictions. We identify four structural shocks: a labour supply, an aggregate supply, an aggregate demand and a monetary policy shock.
Zoltán M. Jakab, Éva Kaponya
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An Alternative Identification of the Economic Shocks in SVAR Models [PDF]

Economics Bulletin, 2009
The purpose of this paper is to develop a new approach allowing us to identify the structural shocks in the SVAR model. This approach ameliorates substantially the decomposition methods of Bernanke (1986) and Bernanke & Mihov (1998) and improves in the same way the identification procedures pioneered by Blanchard & Quah (1989) and Blanchard & Perotti ...
Hassan Belkacem Ghassan, Mohammed Souissi, Mohammed Kbiri Alaoui   +2 more
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Kaleckiyen Model Çerçevesinde Talep ve Bölüşüm Dinamikleri: SVAR Modeli Yaklaşımı

2023
In this study, we present an empirical investigation into demand and distribution dynamics using structural vector autoregression analysis for Turkey between the period 1970-2017. The theoretical analysis is based on a Kaleckian dynamic macro model where distributive shares are determined endogenously by introducing Rowthorn’s conflicting claims on ...
MUTLUGÜN, Betül, İNCEKARA, Ahmet
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A SVAR model for estimating core inflation in the Euro zone

Applied Economics Letters, 2005
A traditional role of central banks has been to protect the purchasing power of money by keeping a roof on inflation. Recently, several central banks have explicitly assumed an inflation control target. This is the case, among others, of the European Central Bank (ECB) whose monetary policy goal is to keep an annual inflation rate below 2% over a ...
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Impulse response analysis and forecast error variance decomposition in SVAR modelling

1997
In this chapter we explain how to use estimated Structural VAR models to perform dynamic simulations, via impulse response analysis (section 5.1) and forecast error variance decomposition (section 5.2). After presenting the asymptotic results which are used to obtain confidence bounds around the estimated coefficient, in section 5.3 we present some ...
Gianni Amisano, Carlo Giannini
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Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions

Journal of Business & Economic Statistics, 2010
This paper considers inference for impulse responses in models with highly persistent variables. We show that the impulse responses of interest are not consistently estimable under the long-run identification scheme when the strongly dependent process is parameterized as local to unity.
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