In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is base...

Analysis of causal effects between continuous-valued variables typically uses either autoregressive models or structural equation models with instantaneous effects. Estimation of Gaussian, linear structural equation models poses serious identifiability problems, which is why it was recently proposed to use non-Gaussian models. Here, we show how to combine the non-Gaussian instantaneous model wi...

The past years were characterized by unprecedented rises in prices of commodities such as oil or wheat and infl ation rates moved up above the mark of two percent per annum. This led to a revival of the debate whether commodity prices indicate future CPI infl ation and if they can be used as indicator variables for central banks or not. We apply various econometric methods like Granger causalit...

Hösten 2000 ordnade Nätverket för självbiografiskt skrivande vid Nordiska museet ett seminarium med temat "Vad vill vi våra frågelistor". Då frågelistmetoden i dag är den kanske vanligaste insamlingsmetoden också Svenska litteratursällskapets folkkultursarkiv känns denna fråga brännande: vad egentligen frågelistor? Som folklorist kan jag strax besvara frågan: ha glimrande berättande som går att...

Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does type matter? We propose novel SVAR identification strategy address these questions via inequality constraints on structural shocks. find that sharply higher macroeconomic recessions often output shocks, while financial markets likely fluctuations. (JEL D81...

Özet
 Bu makalede Türkiye ekonomisinin 2003:Q1-2019:Q4 dönemine ait verileri kullanılarak, takipteki krediler oranı (TKO) ile makroekonomik değişkenler arasındaki dinamik ilişki yapısal vektör otoregresif model yardımıyla incelenmektedir. Etki tepki analizinin bulgularına göre, kredi büyümesindeki ve reel GSYH artışlar, TKO artışını yavaşlatırken; faiz oranındaki artış, hızlandırmaktadır. ...