Mumtaz, HaroonPetrova, Katerina2023-07-062023-07-062023Mumtaz 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.129460022-2879http://hdl.handle.net/10230/57479In 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.application/pdfeng© 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.info:eu-repo/semantics/articlehttp://dx.doi.org/10.1111/jmcb.12946time-varying parametersstochastic volatilityproxy VARtax shocksinfo:eu-repo/semantics/openAccess