Alternative Maximum Likelihood Estimation of Structural Vector Autoregressive Models Partially Identified with Short‐Run Restrictions
提出一种替代最大似然估计方法，用于处理部分识别的向量自回归模型，能降低似然空间维度以应对大型变量系统，并应用于开放经济模型分析货币政策对汇率和期限结构的影响。
This paper presents an alternative maximum likelihood estimation method for partially identified vector autoregressive models. This method might be especially useful to handle very large systems of variables by reducing the dimension of the likelihood space. As an application, we consider an open economy model to investigate the effects of monetary policy on exchange rates and term structures. We find that exchange rates tend to overshoot and term structures have hump‐shaped responses to monetary policy shocks.