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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

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

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

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

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

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

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

Checking for Unboundedness in SVARs

11 Oct 2022 RDP 2022-04
Matthew Read
1. ,. 0. does not contain zero, it is not possible to construct a sequence for Q converging to the point where. ... η. 1. ,. 1. ,. 0. includes zero, it may be possible to construct such a sequence.
https://www.rba.gov.au/publications/rdp/2022/2022-04/checking-for-unboundedness-in-svars.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

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

11 Oct 2022 RDP 2022-04
Matthew Read
A contribution of this paper is to highlight this issue and explain why it arises. ... 0. =. 0. Whether it is possible to do this depends on the sign of.
https://www.rba.gov.au/publications/rdp/2022/2022-04/full.html