Identifying Structural Vector Autoregressions Via Changes in Volatility

2012 ◽  
Author(s):  
Helmut Luetkepohl
Keyword(s):  
Vector Autoregressions ◽  
Structural Vector

Structural Vector Autoregressions

2008 ◽  
pp. 1-5 ◽  
Author(s):  
Jesús Fernández-Villaverde ◽  
Juan F. Rubio-Ramírez
Keyword(s):  
Vector Autoregressions ◽  
Structural Vector

scholarly journals Shock Restricted Structural Vector-Autoregressions

2017 ◽  
Author(s):  
Sydney Ludvigson ◽  
Sai Ma ◽  
Serena Ng
Keyword(s):  
Vector Autoregressions ◽  
Structural Vector

scholarly journals International spillover effects of U.S. tax reforms: evidence from Germany

2020 ◽  
Author(s):  
Désirée I Christofzik ◽  
Steffen Elstner
Keyword(s):  
German Economy ◽  
Spillover Effects ◽  
Vector Autoregressions ◽  
Negative Effects ◽  
Tax Reforms ◽  
Positive Effects ◽  
Tax Legislation ◽  
Tax Shocks ◽  
The Impact ◽  
Structural Vector

Abstract This paper explores the international transmission of U.S. tax shocks. Using structural vector autoregressions, we study the impact on the German economy and on German tax legislation. Our results suggest that, after a U.S. tax cut, German GDP increases only moderately. Positive effects via the income channel outweigh negative effects stemming from price developments. Significant changes in the transmission channels arise by distinguishing between the types of the U.S. tax shock. German tax policy either reacts with diametric measures, or remains passive when considering the whole sample period. For a sample starting in 1980, we find that, in particular, after U.S. corporate income tax cuts, tax reductions are also implemented in Germany.

scholarly journals Creative Destruction and Uncertainty

2019 ◽  
Vol 18 (4) ◽  
pp. 1814-1843
Author(s):  
Petr Sedláček
Keyword(s):  
Firm Dynamics ◽  
Creative Destruction ◽  
Technology Shocks ◽  
Dynamics Model ◽  
Vector Autoregressions ◽  
Firm Level ◽  
Productivity Shocks ◽  
Technology Growth ◽  
Structural Vector ◽  
Dot Com

Abstract Uncertainty rises in recessions. But does uncertainty cause downturns or vice versa? This paper argues that counter-cyclical uncertainty fluctuations are a by-product of technology growth. In a firm dynamics model with endogenous technology adoption, faster technology growth widens the dispersion of firm-level productivity shocks, a benchmark uncertainty measure. Moreover, faster technology growth spurs a creative destruction process, generates a temporary downturn, and renders uncertainty counter-cyclical. Estimates from structural vector autoregressions (VARs) on U.S. data confirm the model’s predictions. On average, 1/4 of the cyclical variation in uncertainty is driven by technology shocks. This fraction rises to 2/3 around the “dot-com” bubble.

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