Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks

• Autores: Helmut Herwartz, Martin Plödt
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 78, Nº. 1, 2016, págs. 94-112
• Idioma: inglés
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• Resumen

  • Beside a priori theoretical assumptions on instantaneous or long-run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, changes in second order moments of systems of time series can be fruitfully exploited for identification purposes in SVARs. By means of Monte Carlo studies, we examine to what degree theory-based and statistical identification approaches offer an accurate quantification of the true structural relations in a standard model for monetary policy analysis. Subsequently, we discuss how identifying information from theory-based and statistical approaches can be combined on the basis of a low-dimensional empirical model of US monetary policy.