A Prior for Impulse Responses in Bayesian Structural VAR Models

Andrzej Kocięcki

14 citations0/0 files storedJournal of Business and Economic Statistics

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Monetary Policy and Economic Impact Control Systems and Identification Statistical Methods and Bayesian Inference

Abstract

This article develops a comprehensive approach to formally introduce the prior for impulse responses into the Bayesian structural VAR (SVAR) models, with considerable attention paid to careful prior specification. Furthermore, we present an efficient algorithm to estimate the SVAR with a Gaussian prior for impulse responses using simulation methods. We also illustrate our methodology using an example in which we verifiy some facts concerning the impact of monetary policy shock on the economy.

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References

2005What are the effects of monetary policy on output? Results from an agnostic identification procedure 1998Measuring Monetary Policy 1996What Does Monetary Policy Do?1998Bayesian Methods for Dynamic Multivariate Models 1999Error Bands for Impulse Responses 1998The robustness of identified VAR conclusions about money 1995The identification of monetary policy disturbances explaining the liquidity puzzle 1972Econometrics and Decision Theory

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