Identifying SVARs with Sign Restrictions and Heteroskedasticity

Srecko Zimic

No 10251, EcoMod2017 from EcoMod

Abstract: Develop new identification method for SVARs and study the effects of monetary policy shocks. This paper introduces a new method to identify structural vector autoregres- sions. The method combines the sign restrictions method with the identification through heteroskedasticity. I show that different volatility regimes of structural shocks can be used to strengthen the partial identification through sign restric- tions. The method is applied to the identification of the monetary policy shocks. The standard sign restriction method is inconclusive about the sign of the response of output following a monetary policy shock. On the other hand, using the pro- posed method, the identified monetary policy shock lowers output significantly as predicted by theory.

Keywords: US; Macroeconometric modeling; Monetary issues (search for similar items in EconPapers)
Date: 2017-07-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ecomod.net/system/files/Heteroskedasticity_sign_res.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:ekd:010027:10251

Access Statistics for this paper

More papers in EcoMod2017 from EcoMod Contact information at EDIRC.
Bibliographic data for series maintained by Theresa Leary ().