Arbeitspapier
Changing impact of shocks: A time-varying proxy SVAR approach
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in the US and show that there is limited evidence for a structural change in the tax multiplier.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 875
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
- Thema
-
Time-Varying parameters
Stochastic volatility
Proxy VAR
tax shocks
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mumtaz, Haroon
Petrova, Katerina
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Arbeitspapier
Beteiligte
- Mumtaz, Haroon
- Petrova, Katerina
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2018
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