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econ.EM2024
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,…
econ.EM2024
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…