Tomasz Wo┼║niak | University of Melbourne

We present a flexible structural vector autoregressive model with identification via heteroskedasticity. It encompasses a range of volatility models and allows for imposing over-identifying restrictions. Consequently, statistical methods can be used for comparing models with alternative sets of restrictions that just-identify a conventional SVAR model. Efficient Bayesian algorithms are derived for estimating larger models that are difficult to handle in a frequentist analysis. We propose a novel marginal data density estimator for structural models that are not globally identified. Comparing three classical models for the U.S., we find that models that induce monetary policy shocks from non-borrowed reserves outperform those that use federal funds rate for that purpose.

About School Seminar Series

School of Economics seminars are the main academic seminar series held on a Friday. These seminars are presented by guest researchers and enable School of Economics academics to network with other academics from around Australia and internationally.

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