Endogenous time variation in vector autoregressions

Danilo Leiva-Leon () and Luis Uzeda

No 2108, Working Papers from Banco de España

Abstract: We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence the dynamics of the coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also provided. We apply our framework to the US economy. Scenario analysis suggests that, once accounting for the influence of structural shocks on the autoregressive coefficients, the effects of monetary policy on economic activity are larger and more persistent than in an otherwise standard TVP-VAR. Our results also indicate that cost-push shocks play a prominent role in understanding historical changes in inflation-gap persistence.

Keywords: TVP-VAR; state-space; endogeneity; bayesian; monetary policy (search for similar items in EconPapers)
JEL-codes: C11 C32 E31 E52 (search for similar items in EconPapers)
Pages: 82 pages
Date: 2021-02
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Endogenous Time Variation in Vector Autoregressions (2023)
Working Paper: Endogenous Time Variation in Vector Autoregressions (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:2108

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