scholarly journals Time Varying Structural Vector Autoregressions and Monetary Policy

2003 ◽  
Author(s):  
Giorgio E. Primiceri
Keyword(s):  
Monetary Policy ◽  
Time Varying ◽  
Vector Autoregressions ◽  
Structural Vector

Common time variation of parameters in reduced-form macroeconomic models

2015 ◽  
Vol 0 (0) ◽  
Author(s):  
Dalibor Stevanovic
Keyword(s):  
Time Variation ◽  
Reduced Form ◽  
Time Varying ◽  
Vector Autoregressions ◽  
Macroeconomic Models ◽  
Variation Of Parameters ◽  
Common Time ◽  
Time Varying Parameter ◽  
Low Dimension ◽  
Structural Vector

AbstractStandard time varying parameter (TVP) models usually assume independent stochastic processes. In this paper, I show that the number of underlying sources of parameters’ time variation is likely to be small, and provide empirical evidence for factor structure amongst TVPs of popular macroeconomic models. In order to test for the presence of low dimension sources of time variation in parameters and estimate their magnitudes, I develop the factor time varying parameter (Factor-TVP) framework and apply it to [Primiceri, G.E. (2005), “Time Varying Structural Vector Autoregressions and Monetary Policy,”

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