[go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

Inference Based On Time-Varying SVARs Identified with Time Restrictions

Jonas E. Arias, Juan F Rubio-Ramirez, Minchul Shin and Daniel Waggoner
Additional contact information
Jonas E. Arias: https://www.philadelphiafed.org/our-people/jonas-arias

No 2024-4, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: We propose an approach for Bayesian inference in time-varying structural vector autoregressions (SVARs) identified with sign restrictions. The linchpin of our approach is a class of rotation-invariant time-varying SVARs in which the prior and posterior densities of any sequence of structural parameters belonging to the class are invariant to orthogonal transformations of the sequence. Our methodology is new to the literature. In contrast to existing algorithms for inference based on sign restrictions, our algorithm is the first to draw from a uniform distribution over the sequences of orthogonal matrices given the reduced-form parameters. We illustrate our procedure for inference by analyzing the role played by monetary policy during the latest inflation surge.

Keywords: time-varying parameters; structural vector autoregressions; identification (search for similar items in EconPapers)
JEL-codes: C11 C51 E52 E58 (search for similar items in EconPapers)
Pages: 55
Date: 2024-03-25
References: Add references at CitEc
Citations:

Published in 2024

Downloads: (external link)
https://www.atlantafed.org/-/media/documents/resea ... ime-restrictions.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:97982

Ordering information: This working paper can be ordered from

DOI: 10.29338/wp2024-04

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Rob Sarwark ().

 
Page updated 2024-12-22
Handle: RePEc:fip:fedawp:97982