Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184806
Authors: 
Mumtaz, Haroon
Year of Publication: 
2018
Series/Report no.: 
Working Paper 855
Abstract: 
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori and structural shocks can be identified ex-post by applying standard SVAR techniques. The paper provides a Gibbs algorithm to approximate the posterior distribution and demonstrates the proposed methods by estimating the impact of financial uncertainty shocks on the US economy.
Subjects: 
VAR
Stochastic volatility in mean
error covariance
JEL: 
C2
C11
E3
Document Type: 
Working Paper
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