Changing Impact of Shocks: A Time‐Varying Proxy SVAR Approach

نویسندگان

چکیده

In this paper, we extend the Bayesian Proxy vector autoregression (VAR) model to incorporate time variation in parameters. A novel Metropolis-within-Gibbs sampling algorithm is provided approximate posterior distributions of model's Using proposed algorithm, estimate time-varying effects taxation shocks United States and Kingdom find evidence for a decline impact these on output growth.

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ژورنال

عنوان ژورنال: Journal of Money, Credit and Banking

سال: 2022

ISSN: ['1538-4616', '0022-2879']

DOI: https://doi.org/10.1111/jmcb.12946