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59 results, from 11
Diskussionspapiere 1729 / 2018

The Relation between Monetary Policy and the Stock Market in Europe

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes. Heteroskedasticity is modelled by a Markov-switching ...

2018| Helmut Lütkepohl, Aleksei Netsunajev
Diskussionspapiere 1707 / 2017

Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity

In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with statistical methods which limits the statistical validation of many just-identified SVAR models. In this study, ...

2017| Helmut Lütkepohl, Tomasz Woźniak
Diskussionspapiere 1672 / 2017

Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis

The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse ...

2017| Helmut Lütkepohl, Thore Schlaak
Diskussionspapiere 1642 / 2017

Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions

There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR impulse response estimates based on long-run and short-run identifying restrictions and find that long-run ...

2017| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1632 / 2016

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models

Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptoticproperties of the identified parameters are derived. Moreover, tests for identification through heteroskedasticity are developed and their asymptotic distributions ...

2016| Helmut Lütkepohl, George Milunivich, Minxian Yang
Diskussionspapiere 1564 / 2016

Calculating Joint Confidence Bands for Impulse Response Functions Using Highest Density Regions

This paper proposes a new non-parametric method of constructing joint confidence bands for impulse response functions of vector autoregressive models. The estimation uncertainty is captured by means of bootstrapping and the highest density region (HDR) approach is used to construct the bands. A Monte Carlo comparison of the HDR bands with existing alternatives shows that the former are competitive ...

2016| Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker
Diskussionspapiere 1464 / 2015

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the different volatility models and points out their advantages and drawbacks. It thereby enables researchers ...

2015| Helmut Lütkepohl, Aleksei Netsunajev
Diskussionspapiere 1455 / 2015

Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample properties are investigated via ...

2015| Helmut Lütkepohl, George Milunovich
Diskussionspapiere 1388 / 2014

Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market

In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often unrealistic while more exible models based on GARCH or Markov switching residuals are difficult to handle from ...

2014| Helmut Lütkepohl, Aleksei Netsunajev
Diskussionspapiere 1356 / 2014

Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used, exogenously generated changes in the unconditional ...

2014| Helmut Lütkepohl, Anton Velinov
59 results, from 11