Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach

Haroon Mumtaz and Katerina Petrova

Journal of Money, Credit and Banking, 2023, vol. 55, issue 2-3, 635-654

Abstract: In this paper, we extend the Bayesian Proxy vector autoregression (VAR) model to incorporate time variation in the parameters. A novel Metropolis‐within‐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 United States and the United Kingdom and find evidence for a decline in the impact of these shocks on output growth.

Date: 2023
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https://doi.org/10.1111/jmcb.12946

Related works:
Working Paper: Changing impact of shocks: a time-varying proxy SVAR approach (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:635-654

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