Authors: | Keweloh, Sascha Alexander Hetzenecker, Stephan Seepe, Andre |
Title: | Block-recursive non-Gaussian structural vector autoregressions |
Language (ISO): | en |
Abstract: | This study combines block-recursive restrictions with higher-order moment conditions to identify and estimate non-Gaussian structural vector autoregressions. The estimator allows to impose a block-recursive structure on the SVAR and for a given block-recursive structure we derive a conservative set of assumptions on the dependence and Gaussianity of the shocks to ensure identification. We use a Monte Carlo simulation to illustrate the advantages of the proposed blockrecursive estimator compared to unrestricted, purely data driven estimators in small samples. The block-recursive estimator is used to analyze the interdependence of monetary policy and the stock market. We find that a positive stock market shock contemporaneously increases the nominal interest rate, while contractionary monetary policy shocks lead to lower stock returns on impact. |
Subject Headings: | SVAR monetary policy stock market block-recursive non-Gaussianity identification |
URI: | http://hdl.handle.net/2003/40548 http://dx.doi.org/10.17877/DE290R-22417 |
Issue Date: | 2021 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2321_SFB823_Keweloh_Hetzenecker_Seepe.pdf | DNB | 961.37 kB | Adobe PDF | View/Open |
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