arXiv 4 Oct 2020 · Econometrics · 2 citations (OpenAlex)
arXiv:2010.01492 · PDF · DOI · OpenAlex · Extracted main text
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a wide class of multivariate dynamic models with time-varying coefficients, which have a general time-varying vector moving average (VMA) representation, and nest, for instance, time-varying vector autoregression (VAR), time-varying vector autoregression moving-average (VARMA), and so forth as special cases. The paper then develops a unified estimation method for the unknown quantities before an asymptotic theory for the proposed estimators is established. In the empirical study, we investigate the transmission mechanism of monetary policy using U.S. data, and uncover a fall in the volatilities of exogenous shocks. In addition, we find that (i) monetary policy shocks have less influence on inflation before and during the so-called Great Moderation, (ii) inflation is more anchored recently, and (iii) the long-run level of inflation is below, but quite close to the Federal Reserve's target of two percent after the beginning of the Great Moderation period.
appendix boundary found by appendix_titled_section at “Appendix A” · 24% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Primiceri (2005) `Time varying structural vector autoregressions and monetary policy', Review of Economic Studies 72(3), 821–852 | 1.000 | 7 | 3 | 100% |
| 2 | Phillips \ Solo (1992) `Asymptotics for linear processes', Annals of Statistics 20(2), 971–1001 | 0.843 | 4 | 3 | 75% |
| 3 | Dahlhaus \ Polonik (2009) `Empirical spectral processes for locally stationary time series', Bernoulli 15(1), 1–39 | 0.737 | 4 | 3 | 50% |
| 4 | Sims \ Zha (2006) `Were there regime switches in U.S. monetary policy?', American Economic Review 96(1), 54–81 | 0.737 | 3 | 2 | 100% |
| 5 | Shao (2010) `The dependent wild bootstrap', Journal of the American Statistical Association 105(489), 218–235 | 0.511 | 3 | 2 | 33% |
| 6 | Lütkepohl (2005) New Introduction to Multiple Time Series Analysis, Springer Science & Business Media | 0.511 | 2 | 2 | 50% |
| 7 | Li \ Racine (2007) Nonparametric Econometrics Theory and Practice, Princeton University Press, New Jersey | 0.511 | 2 | 1 | 100% |
| 8 | Dahlhaus (1996) `On the kullback-leibler information divergence of locally stationary processes', Stochastic Processes and Their Applications 62… | 0.511 | 2 | 1 | 100% |
| 9 | Giraitis, Kapetanios \ Yates (2014) `Inference on stochastic time-varying coefficient models', Journal of Econometrics 179(1), 46–65 | 0.511 | 2 | 1 | 100% |
| 10 | Tsay (1998) `Testing and modeling multivariate threshold models', Journal of the American Statistical Association 93(443), 1188–1202 | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 55 scored citations.