arXiv subjects

Annika Camehl

Publications and source records attributed to Annika Camehl.

2 recordsLinked to original sources

arXiv2025

Time-Varying Identification of Structural Vector Autoregressions

We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patterns of exclusion restrictions to identify structural shocks within the Markov process regimes. We implement the selection through a multinomial prior distribution over these patterns, which is a spike'n'slab prior for individual parameters. By combining a Markov-switching structural matrix with heteroskedastic structural shocks following a stochastic volatility process, the model enables shock identification through time-varying volatility within a regime. As a result, the exclusion restrictions become over-identifying, and their selection is driven by the signal from the data. Our empirical application shows that data support time variation in the US monetary policy shock identification. We also verify that time-varying volatility identifies the monetary policy shock within the regimes.

econ.EM↗

arXiv2024

Time-Varying Identification of Monetary Policy Shocks

We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity within each regime. Based on four alternative monetary policy rules, we show that a monthly six-variable system supports time variation in US monetary policy shock identification. In the sample-dominating first regime, systematic monetary policy follows a Taylor rule extended by the term spread, effectively curbing inflation. In the second regime, occurring after 2000 and gaining more persistence after the global financial and COVID crises, it is characterized by a money-augmented Taylor rule. This regime's unconventional monetary policy provides economic stimulus, features the liquidity effect, and is complemented by a pure term spread shock. Absent the specific monetary policy of the second regime, inflation would be over one percentage point higher on average after 2008.

econ.EM↗