Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150388
Authors: 
Canova, Fabio
Forero, Fernando J. Pérez
Year of Publication: 
2015
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 6 [Year:] 2015 [Issue:] 2 [Pages:] 359-384
Abstract: 
This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-varying and time-invariant parameters.
Subjects: 
Time-varying coefficient structural VAR models
Metropolis algorithm
identification restrictions
monetary transmission mechanism
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Article

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