The Identifying Information in Vector Autoregressions with Time-Varying Volatilities: An Application to Endogenous Uncertainty
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Publisher
Journal
Journal of Econometrics
ISSN
0304-4076
Metadata
Show full item recordAbstract
We develop a structural vector autoregression with stochastic volatility in which one
of the variables can impact both the mean and the variance of the other variables. We
provide conditional posterior distributions for this model, develop an MCMC algorithm
for estimation, and show how stochastic volatility can be used to provide useful restrictions for the identiÖcation of structural shocks. We then use the model with US
data to show that some variables have a signiÖcant contemporaneous feedback e§ect on
macroeconomic uncertainty, and overlooking this channel can lead to distortions in the
estimated e§ects of uncertainty on the economy.
Authors
Carriero, ACollections
- Economics and Finance [370]