Changing impact of shocks: a time-varying proxy SVAR approach
Haroon Mumtaz and
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Haroon Mumtaz: Queen Mary University of London
Katerina Petrova: University of St. Andrews
No 875, Working Papers from Queen Mary University of London, School of Economics and Finance
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A 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 US and show that there is limited evidence for a structural change in the tax multiplier.
Keywords: Time-Varying parameters; Stochastic volatility; Proxy VAR; tax shocks (search for similar items in EconPapers)
JEL-codes: C11 C2 E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:875
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