4 papers
Sharpening Identification in Large Structural VARs Using Narrative Restrictions
Lukas Berend, Jan Prüser
We propose a high-dimensional structural vector autoregression framework with a factor structure in the error terms that accommodates a large number of linear inequality restrictio…
Assessing the Effects of Monetary Shocks on Macroeconomic Stars: A SMUC-IV Framework
Bowen Fu, Chenghan Hou, Jan Prüser
This paper proposes a structural multivariate unobserved components model with external instrument (SMUC-IV) to investigate the effects of monetary policy shocks on key U.S. macroe…
A large non-Gaussian structural VAR with application to Monetary Policy
Jan Prüser
We propose a large structural VAR which is identified by higher moments without the need to impose economically motivated restrictions. The model scales well to higher dimensions,…
The Transmission of Monetary Policy via Common Cycles in the Euro Area
Lukas Berend, Jan Prüser
We use a FAVAR model with proxy variables and sign restrictions to investigate the role of the euro area's common output and inflation cycles in the transmission of monetary policy…