Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present stud...

I investigate the convergence of demand and supply shocks in new EU member countries to those of the EU. High synchronization of the shocks would indicate relatively low costs of joining a monetary union. Applying the Kalman filter to demand and supply shocks recovered from SVAR, I calculate time varying coefficients in regression of shocks in individual countries versus the EU. For most countr...

This paper assesses the effects and transmission mechanisms of global liquidity commodity market shocks in Mongolia, a commodity-exporting developing economy, using structural vector autoregression (SVAR) model. Results show that boom bust cycles international financial markets lead to business economy as these account for 30, 45, 60 percent domestic output, real exchange rate, lending rate flu...

This paper aims to explore the dynamic relationships between crude oil price (shocks) and investor sentiment. Specifically, this utilizes web crawler construct Chinese sentiment index. The structural vector autoregression (SVAR) model is then used decompose shocks into three types of shocks. Finally, wavelet coherence analysis (WTC) employed study correlation in time frequency domain, their asy...