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Autoren: 
Hartwig, Benny
Datum: 
2020
Reihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2020: Gender Economics
Zusammenfassung: 
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying. Simulations demonstrate that estimated covariance matrices become more divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical applications. Specifically, alternative estimates on the evolution of U.S. systematic monetary policy and in ation-gap persistence indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky multivariate stochastic volatility model is proposed as a robust alternative.
Schlagwörter: 
Model uncertainty
Multivariate stochastic volatility
Dynamic correlations
Monetary policy
Structural VAR
JEL: 
C11
C32
E32
E52
Dokumentart: 
Conference Paper

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