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Changing impact of shocks: a time-varying proxy SVAR approach

Haroon Mumtaz and Katerina Petrova
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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

Abstract: 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)
Date: 2018-11-07
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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