Application of NonLinear SVAR
Posted: Sun Mar 01, 2020 2:11 am
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.
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.