Changing impact of shocks: a time-varying proxy SVAR approach

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  • dc.contributor.author Mumtaz, Haroon
  • dc.contributor.author Petrova, Katerina
  • dc.date.accessioned 2023-07-06T06:54:53Z
  • dc.date.available 2023-07-06T06:54:53Z
  • dc.date.issued 2023
  • dc.description.abstract In this paper, we extend the Bayesian Proxy vector autoregression (VAR) model to incorporate time variation in the parameters. A novel Metropolis-within-Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in the United States and the United Kingdom and find evidence for a decline in the impact of these shocks on output growth.
  • dc.description.sponsorship Katerina Petrova acknowledges support by the Alan Turing Institute under the EPSRC grant EP/N510129/1, the General Directorate for Research in the Government of Catalonia through the Beatriu de Pinós grant 2019/BP/00239, and the Spanish Ministry of Science and Innovation, through the Severo Ochoa Programme for Centres of Excellence in R&D (CEX2019-000915-S).
  • dc.format.mimetype application/pdf
  • dc.identifier.citation Mumtaz H, Petrova K. Changing impact of shocks: a time-varying proxy SVAR approach. J Money Credit Bank. 2023;55(2-3):635-54. DOI: 10.1111/jmcb.12946
  • dc.identifier.doi http://dx.doi.org/10.1111/jmcb.12946
  • dc.identifier.issn 0022-2879
  • dc.identifier.uri http://hdl.handle.net/10230/57479
  • dc.language.iso eng
  • dc.publisher Wiley
  • dc.relation.ispartof Journal of Money, Credit and Banking. 2023;55(2-3):635-54.
  • dc.relation.projectID info:eu-repo/grantAgreement/ES/2PE/CEX2019-000915-S
  • dc.rights © 2022 The Authors. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
  • dc.rights.accessRights info:eu-repo/semantics/openAccess
  • dc.rights.uri http://creativecommons.org/licenses/by/4.0/
  • dc.subject.keyword time-varying parameters
  • dc.subject.keyword stochastic volatility
  • dc.subject.keyword proxy VAR
  • dc.subject.keyword tax shocks
  • dc.title Changing impact of shocks: a time-varying proxy SVAR approach
  • dc.type info:eu-repo/semantics/article
  • dc.type.version info:eu-repo/semantics/publishedVersion

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