Smooth-transition SVAR and external instrument: Insights on the identifying assumptions

Giovanni Barci

Economics Letters, 2024, vol. 243, issue C

Abstract: Identification of smooth-transition VAR structural parameters using an external instrument requires supplementary assumptions relative to the benchmark linear case. This paper shows that such additional discretion may have relevant implications for impulse response functions estimates.

Keywords: State-dependence; SVAR-IV; Shock identification; Monetary policy (search for similar items in EconPapers)
JEL-codes: C26 C32 E32 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524003860

DOI: 10.1016/j.econlet.2024.111902

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