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ArticleJoint Bayesian inference about impulse responses in VAR models

Atsushi Inoue2021

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Articlegreen2021

Joint Bayesian inference about impulse responses in VAR models

Atsushi Inoue · Lutz Kilian

92 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical Methods and Bayesian Inference

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References

2005What are the effects of monetary policy on output? Results from an agnostic identification procedure 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL 2009What are the effects of fiscal policy shocks?2003Interest and prices : foundations of a theory of monetary policy 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates 2017Structural Vector Autoregressive Analysis 1999Error Bands for Impulse Responses 2009Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference

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Details

Year2021

Typearticle

Published2021-11-02

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations92

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jeconom.2021.05.010

openalex_workW3043815492

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2022ADVANCES IN USING VECTOR AUTOREGRESSIONS TO ESTIMATE STRUCTURAL MAGNITUDES