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Dear All, I have a question about interpreting one standard deviation impulse responses when conducting a SVAR study. Particularly, in my SVAR system I have the stock index in log levels and the interest rate in levels. Lets say I have that a one-sd interest rate shock leads to a x% decrease in stoc...

In their 2004 paper on the effect of monetary policy on stock prices, Rigobon and Sack use an IV approach, exploiting the conditional heteroskedasticity in interest rates present on policy vs non policy dates. If anyone previously worked on this paper, could you please suggest how to derive this est...

Could anyone please help me here?

Dear all, I am estimating a 8-variable monetary policy SVAR. I am interested in the impulse responses following a 0.25 increase in the interest rate. I thus define an 8-row vector with all rows as zeros, apart from the interest rate row where I enter 0.25. I use this for my user defined impulse resp...

Thanks for your reply!

What actions can I take in order to be able to estimate my model? What are the sufficient conditions for this?

Thanks for your reply! However optimization control does not help. I thought that maybe if I outline my identification structure, someone could suggest something? I am running a 7 variable macro model with commodity prices, output, inflation, money balances, interest rate, exchange rate and stock pr...

Dear all, I am trying to estimate a SVAR model with SR restrictions which do not follow the usual recursive structure, that would give a triangular matrix "A". Once I try to estimate it, eviews gives me the following error message: "Hessian of SVAR likelihood is singular at starting v...

Hello forum, I am currently working on a study of monetary policy effects on stock prices, and would like to identify my SVAR model through a combination of SR and LR restrictions, similar to the method followed by Bjornland and Leitemo (2009). Is this possible in Eviews? From what I have read, I ca...