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13 Ergebnisse, ab 11
Diskussionspapiere 1905 / 2020

A Simple Instrument for Proxy Vector Autoregressive Analysis

A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead to impulse response estimates of the impact effects of the shock of interest that are nearly as efficient ...

2020| Lukas Boer, Helmut Lütkepohl
DIW Roundup 128 / 2019

Measuring the Effect of Foreign Exchange Intervention Policies on Exchange Rates

Central bank intervention in foreign exchange markets is a common tool to influence exchange rates. Although central bankers are convinced of their policy’s effectiveness, econometric estimates of precise effects differ across studies. The difficulties with estimations mostly result from a lack of adequate data. This article highlights different econometric approaches that aim to mitigate estimation ...

2019| Lukas Boer
Externe referierte Aufsätze

Qualitative versus Quantitative External Information for Proxy Vector Autoregressive Analysis

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider simpler versions that use only the dating and signs of particular shocks. It is shown that such qualitative (sign-)proxies ...

In: Journal of Economic Dynamics & Control 127 (2021), 104118, 17 S. | Lukas Boer, Helmut Lütkepohl
13 Ergebnisse, ab 11
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