Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks

DOI10.1016/J.JEDC.2021.104265MaRDI QIDQ2054847zbMATH OpenOpenAlexFDO

Authors Giovanni Angelini, Marco M. Sorge

Publication date 3 December 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://amsacta.unibo.it/6646/1/WP1160.pdf

zbMATH Keywords

vector autoregressionDSGE modelsCholesky identificationtiming restrictions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• Structural information in recursive VAR orderings
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Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• A check for finite order VAR representations of DSGE models
• Computing sunspot equilibria in linear rational expectations models
• Detecting and analyzing the effects of time-varying parameters in DSGE models
• Heterogeneous beliefs and tests of present value models
• Identification and estimation of non-Gaussian structural vector autoregressions
• Impulse response matching estimators for DSGE models
• Measuring nonfundamentalness for structural VARs
• Sentiments
• Solving dynamic equilibrium models by a method of undetermined coefficients
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving linear rational expectations models
• Structural information in recursive VAR orderings
• Structural vector autoregressive analysis
• System reduction and solution algorithms for singular linear difference systems under rational expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• VARMA representation of DSGE models

Cited in

(1)

• Revisiting the effects of monetary policy shocks: evidence from SVAR with narrative sign restrictions

Describes a project that uses

Uses Software

• Gensys

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