Konferenzbeitrag
Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky Multivariate Stochastic Volatility Model
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying. Simulations demonstrate that estimated covariance matrices become more divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical applications. Specifically, alternative estimates on the evolution of U.S. systematic monetary policy and in ation-gap persistence indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky multivariate stochastic volatility model is proposed as a robust alternative.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2020: Gender Economics
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
Monetary Policy
- Thema
-
Model uncertainty
Multivariate stochastic volatility
Dynamic correlations
Monetary policy
Structural VAR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hartwig, Benny
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Leibniz Information Centre for Economics
- (wo)
-
Kiel, Hamburg
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Hartwig, Benny
- ZBW - Leibniz Information Centre for Economics
Entstanden
- 2020
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