Macro/Trade Seminar: Endogenous Time-Variation in Vector Autoregressions – School of Economics Macro/Trade Seminar: Endogenous Time-Variation in Vector Autoregressions – School of Economics

Macro/Trade Seminar: Endogenous Time-Variation in Vector Autoregressions

The School of Economics invites you to a seminar presented by Luis Henrique Uzeda Garcia (Bank of Canada).

Co-author:

Danilo Leiva-Leon (Banco de Espana)

Abstract

This paper proposes a new econometric framework to provide robust inference on the origins of instabilities in the relationship between key macroeconomic variables. We introduce a new class of Time-Varying Parameter Vector Autoregression (TVP-VAR) models where the set of underlying structural shocks are allowed to potentially influence the dynamics of the autoregressive coefficients. The proposed Endogenous TVP-VAR framework is applied to study the sources of instabilities in the relationship between the unemployment, inflation and interest rates of the U.S. economy. The results indicate that cost-push shocks are an important source of macroeconomic instability and emphasize the role of lags in the transmission mechanism of monetary policy.

Date

Apr 12 2019
Expired!

Time

3:30 pm - 4:30 pm

Location

Room 650, Social Sciences Building (A02)
Category

Organizer

Dave Mc Manamon
Phone
93514587
Email
dave.mcmanamon@sydney.edu.au

Leave a Reply

Your email address will not be published.