A generalised stochastic volatility in mean VAR

Haroon Mumtaz

Economics Letters, 2018, vol. 173, issue C, 10-14

Abstract: This note introduces a VAR with stochastic volatility in mean where the shocks of the volatility equations and the observation equations are allowed to be correlated. We provide a Gibbs algorithm to approximate the posterior distribution and demonstrate the proposed methods by estimating the impact of financial uncertainty shocks on the US economy.

Keywords: VAR; Stochastic volatility in mean; Error covariance (search for similar items in EconPapers)
JEL-codes: C11 C3 E3 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:173:y:2018:i:c:p:10-14

DOI: 10.1016/j.econlet.2018.08.044

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