(Structural) VAR Models with Ignored Changes in Mean and Volatility

2020 ◽  
Author(s):  
Matei Demetrescu ◽  
Nazarii Salish
Keyword(s):  
Structural Var ◽  
Var Models

On Identifying Structural VAR Models via ARCH Effects

2013 ◽  
Vol 5 (2) ◽  
pp. 117-131 ◽  
Author(s):  
George Milunovich ◽  
Minxian Yang
Keyword(s):  
Structural Parameters ◽  
Sufficient Conditions ◽  
Significance Test ◽  
Structural Var ◽  
Reduced Form ◽  
Garch Models ◽  
Var Models ◽  
Arch Effect ◽  
Standard Manner ◽  
Joint Identification

Abstract: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of sufficient conditions for the joint identification of all parameters. Under these conditions, as the structural parameters are identified, various restrictions on the parameters can be tested in a standard manner. For example, the significance test for the ARCH effect in the usual GARCH formulation for a structural shock does not suffer the complications caused by a lack of identification encountered in univariate GARCH models.

scholarly journals Comparing Monetary And Fiscal Policy Transmission Across The Americas And The Emu-Area

2011 ◽  
Vol 7 (8) ◽  
Author(s):  
Dimitrios Tsoukalas
Keyword(s):  
Fiscal Policy ◽  
Financial Markets ◽  
Structural Var ◽  
Transmission Mechanism ◽  
Var Models ◽  
Macroeconomic Policies ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Monetary And Fiscal Policy ◽  
The U.S

This paper estimates structural VAR models to compare the transmission mechanism of monetary and fiscal policy in the Americas and the EMUarea countries. First, the NAFTA countries are considered and the estimation results are compared with those for the EMU-area countries. Attention is also paid to interaction of macroeconomic policies and the effects of shocks in financial markets. Results show that the Americas except for the U.S. and Canada react rather differently to monetary and fiscal policy shocks than the EMU- area countries.

Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

2012 ◽  
Vol 44 (29) ◽  
pp. 3841-3856 ◽  
Author(s):  
Mala Raghavan ◽  
Paramsothy Silvapulle ◽  
George Athanasopoulos
Keyword(s):  
Monetary Policy ◽  
Policy Analysis ◽  
Asian Crisis ◽  
Structural Var ◽  
Var Models

The dynamics of Greek public debt – evidence from simultaneous and structural VAR models

2014 ◽  
Vol 47 (10) ◽  
pp. 967-980 ◽  
Author(s):  
Nicholas Apergis ◽  
Arusha Cooray
Keyword(s):  
Public Debt ◽  
Structural Var ◽  
Var Models
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