Changing impact of shocks: a time-varying proxy SVAR approach

Haroon Mumtaz and Katerina Petrova
Additional contact information
Haroon Mumtaz: Queen Mary University of London

No 875, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: 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.

Keywords: Time-Varying parameters; Stochastic volatility; Proxy VAR; tax shocks (search for similar items in EconPapers)
JEL-codes: C11 C2 E3 (search for similar items in EconPapers)
Date: 2018-11-07
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2018/wp875.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:875

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).