Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152730
Authors: 
Villani, Mattias
Warne, Anders
Year of Publication: 
2003
Series/Report no.: 
ECB Working Paper 296
Abstract: 
Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends the Bayesian analysis of structural VARs to cover cointegrated processes with an arbitrary number of cointegrating relations and general linear restrictions on the cointegration space. A reference prior distribution with an optional small open economy effect is proposed and a Gibbs sampler is derived for a straightforward evaluation of the posterior distribution. The methods are used to analyze the effects of monetary policy in Sweden.
Subjects: 
Counterfactual experiments
Impulse responses
monetary policy
Structural
Vector autoregression
JEL: 
C11
C32
E52
Document Type: 
Working Paper

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