2 papers
econ.EM2025
Time-Varying Identification of Structural Vector Autoregressions
Annika Camehl, Tomasz Woźniak
We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patt…
econ.EM2024
Time-Varying Identification of Monetary Policy Shocks
Annika Camehl, Tomasz Woźniak
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion re…