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

DOI10.1016/J.JEDC.2021.104265zbMATH Open1478.91118OpenAlexW3146236646MaRDI QIDQ2054847FDOQ2054847

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

Recommendations

• Structural information in recursive VAR orderings
• Identification and estimation of non-Gaussian structural vector autoregressions
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• Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
• Revisiting the effects of monetary policy shocks: evidence from SVAR with narrative sign restrictions

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)

Cites Work

• Solving linear rational expectations models
• Identification and estimation of non-Gaussian structural vector autoregressions
• Title not available (Why is that?)
• Structural vector autoregressive analysis
• Title not available (Why is that?)
• Impulse response matching estimators for DSGE models
• Solving dynamic equilibrium models by a method of undetermined coefficients
• Sentiments
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• System reduction and solution algorithms for singular linear difference systems under rational expectations
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Heterogeneous beliefs and tests of present value models
• VARMA representation of DSGE models
• A check for finite order VAR representations of DSGE models
• Computing sunspot equilibria in linear rational expectations models
• Structural information in recursive VAR orderings
• Detecting and analyzing the effects of time-varying parameters in DSGE models
• Measuring nonfundamentalness for structural VARs

Cited In (1)

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

Uses Software

• Gensys

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