Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82480
Authors: 
Villani, Mattias
Warne, Anders
Year of Publication: 
2003
Series/Report no.: 
Sveriges Riksbank Working Paper Series 156
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 straight-forward evaluation of the posterior distribution. The methods are used to analyze the e.ects of monetary policy in Sweden.
Subjects: 
Structural
Vector autoregression
Monetary policy
Impulse responses
Counterfactual experiments
JEL: 
C11
C32
E52
Document Type: 
Working Paper

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