Application of NonLinear SVAR

[umars1013]

Good Day All,

I am working on a study that involves the response of monetary policy to oil price shocks and the effectiveness of monetary policy during expansion and contraction.

I, therefore plan to go as follows:

1. I propose to use Time-Varying Coefficients Structural VAR (TVC-SVAR) or TVC-SVAR with Stochastic Volatility to examine the response of monetary policy to oil price shocks

2. I propose to use Markov Switching Structural VAR (MS -SVAR) to examine the effectiveness of monetary policy during expansion and contraction.


My Questions are:

1. Are the proposed techniques suitable for the problem raised?

2. If yes, Can e-views 10 be used to execute that and How? ie are there built-in commands or one has to use the e-views add-in?

I would greatly appreciate your response.

Best Regards.