This paper builds a structural VARMA (SVARMA) model for investigating Canadian monetary policy. Despite the support for a VARMA model for monetary policy analysis, the traditional VAR and SVAR models have predominantly been used in the literature mainly due to difficulties associated with the identification and estimation of such a model. Using the scalar component model (SCM) proposed by Athan...

This study examines the nature of competition between the two leading brands of a national small size market by estimating shortand long-term competitive reactions via a Structural VAR (SVAR) model. The primary findings indicate how the two competitors react, which marketing instruments are used, and when competitive reactions affect crossand own-sales. The empirical results suggest that compet...

We explore the use of external instrument SVAR to identify monetary policy shocks. We identify a forward guidance shock as the monetary shock component having zero instant impact on the policy rate. A contractionary forward guidance shock raises both future output and price level, stressing the relative importance of revealing policymakers’ view on future output and price level over committing ...

Under specific parametric assumptions, an n−variable structural vector auto-regression (SVAR) can be identified (up to n! shock orderings) via heteroskedasticity of the structural shocks (Rigobon, 2003, Sentana & Fiorentini, 2001). I show that misspecification of the heteroskedasticity process can bias results derived from these identification schemes. I propose a different method that identifi...