Endogenous time variation in vector autoregressions

Arbeitspapier

We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence - contemporaneously and with a lag - the dynamics of the intercept and autoregressive coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also provided. We apply our framework to the US economy. Scenario analysis suggests that the effects of monetary policy on economic activity are larger and more persistent in the proposed models than in an otherwise standard TVP-VAR. Our results also indicate that costpush shocks play an important role in understanding historical changes in inflation persistence.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Staff Working Paper ; No. 2020-16

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Price Level; Inflation; Deflation ; Monetary Policy
• Subject: Econometric and statistical methods ; Transmission of monetary policy ; Inflation and prices

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Leiva-Leon, Danilo ; Uzeda, Luis
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2020

Further information

• DOI: doi:10.34989/swp-2020-16
• Handle: http://hdl.handle.net/10419/241182
• Last update: 10.03.2025, 11:45 AM CET