Time Varying Structural Vector Autoregressions and Monetary Policy

@article{Primiceri2003TimeVS,
  title={Time Varying Structural Vector Autoregressions and Monetary Policy},
  author={Giorgio E. Primiceri},
  journal={Social Science Research Network},
  year={2003}
}
Monetary policy and the private sector behaviour of the U.S. economy are modelled as a time varying structural vector autoregression, where the sources of time variation are both the coefficients and the variance covariance matrix of the innovations. The paper develops a new, simple modelling strategy for the law of motion of the variance covariance matrix and proposes an efficient Markov chain Monte Carlo algorithm for the model likelihood/posterior numerical evaluation. The main empirical… 
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