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The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions

11 Oct 2022 RDP 2022-04
Matthew Read
I argue that it is therefore important to communicate about the extent to which the identified set may be unbounded, since this tells us about the informativeness of the identifying restrictions,
https://www.rba.gov.au/publications/rdp/2022/2022-04.html

Conclusion

11 Oct 2022 RDP 2022-04
Matthew Read
However, it may still be possible to draw useful inferences about impulse responses to a unit shock when the identified set is unbounded with positive posterior probability. ... It is therefore possible to draw useful inferences about the effects of US
https://www.rba.gov.au/publications/rdp/2022/2022-04/conclusion.html

Appendix C: Description of Numerical Algorithms

11 Oct 2022 RDP 2022-04
Matthew Read
h. (i.e. that it lies within a specified interval), the posterior lower probability assigned to the hypothesis can be approximated by the posterior probability that the identified set is contained ... Consequently, it is necessary to numerically
https://www.rba.gov.au/publications/rdp/2022/2022-04/appendix-c.html

Appendix B: Proofs of Propositions

11 Oct 2022 RDP 2022-04
Matthew Read
for all. Q. Q. (. ϕ. |. S. ,. F. ). It follows that. |. η. ˜. i. ,. 1. ,. h. (. ... has dimension. n. f. 1. rank. (. S. (. ϕ. ). ). 1. ,. so it is always possible to construct.
https://www.rba.gov.au/publications/rdp/2022/2022-04/appendix-b.html

References

11 Oct 2022 RDP 2022-04
Matthew Read
Available at <https://drive.google.com/file/d/1gbR6HllbhqkE2msfuApKNe80SPgJe6FY/view>. Beaudry P, D Nam and J Wang (2011), ‘Do Mood Swings Drive Business Cycles and Is It Rational?’, NBER Working Paper
https://www.rba.gov.au/publications/rdp/2022/2022-04/references.html

Non-technical summary for ‘The Rise in Household Liquidity’

11 Oct 2022 RDP 2022-04
Matthew Read
unexpected changes in monetary policy) is difficult, because it requires disentangling the effects of the specific shock from the effects of other shocks hitting the economy. ... A key contribution of this paper is to highlight this issue and explain why
https://www.rba.gov.au/publications/rdp/2022/2022-04/non-technical-summary.html

Framework

11 Oct 2022 RDP 2022-04
Matthew Read
π. Q. |. ϕ. It is therefore important for researchers to assess or eliminate this sensitivity. ... π. Q. |. ϕ. is never updated. The key feature of the approach is that it replaces.
https://www.rba.gov.au/publications/rdp/2022/2022-04/framework.html

Appendix A: Derivations for Bivariate SVAR

11 Oct 2022 RDP 2022-04
Matthew Read
π. /. 2. ,. 0. ). Since arctan is an increasing function, it follows that:.
https://www.rba.gov.au/publications/rdp/2022/2022-04/appendix-a.html

Introduction

11 Oct 2022 RDP 2022-04
Matthew Read
A contribution of this paper is to highlight this issue and explain why it arises. ... However, I argue that it may be difficult to elicit a credible lower bound and inferences may be sensitive to changes in the imposed bound.
https://www.rba.gov.au/publications/rdp/2022/2022-04/introduction.html

Ruling Out Unboundedness Using Alternative Restrictions

11 Oct 2022 RDP 2022-04
Matthew Read
Although this discussion is framed in the context of monetary policy, it also applies more generally to other settings. ... One possibility is to directly restrict the impact response of the federal funds rate to a standard deviation monetary policy
https://www.rba.gov.au/publications/rdp/2022/2022-04/ruling-out-unboundedness-using-alternative-restrictions.html