Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Keweloh, Sascha Alexander | - |
dc.contributor.author | Hetzenecker, Stephan | - |
dc.contributor.author | Seepe, Andre | - |
dc.date.accessioned | 2021-11-09T15:05:40Z | - |
dc.date.available | 2021-11-09T15:05:40Z | - |
dc.date.issued | 2021 | - |
dc.identifier.uri | http://hdl.handle.net/2003/40548 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-22417 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;23/2021 | - |
dc.subject | SVAR | en |
dc.subject | monetary policy | en |
dc.subject | stock market | en |
dc.subject | block-recursive | en |
dc.subject | non-Gaussianity | en |
dc.subject | identification | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Block-recursive non-Gaussian structural vector autoregressions | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
eldorado.secondarypublication | false | de |
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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