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Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
16 references·7 citing·36 second hop
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References

  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1998Measuring Monetary Policy1,643 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 1996What Does Monetary Policy Do?1,081 cited
  • 1998Bayesian Methods for Dynamic Multivariate Models1,011 cited
  • 2009Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference901 cited
  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
  • 2006Has Monetary Policy Become More Effective?768 cited
  • 2002Monetary disturbances matter for business fluctuations in the G-7749 cited
  • 1990The Federal Funds Rate and the Channels of Monetary Transnission658 cited
  • 1997Topics in Structural VAR Econometrics589 cited
  • 2011News shocks and business cycles534 cited

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1995
The identification of monetary policy disturbances explaining the liquidity puzzle
471 cited

Cited by

  • 2018Bayesian Vector Autoregressions30 cited
  • 2018Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity28 cited
  • 2015Combining Time Variation and Mixed Frequencies: an Analysis of Government Spending Multipliers in Italy27 cited
  • 2017Estimation of structural vector autoregressive models25 cited
  • 2017GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES22 cited
  • 2022Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach20 cited
  • 2020What Role Does the Housing Market Play for the Macroeconomic Transmission Mechanism?13 cited