Endogenous Time Variation in Vector Autoregressions
提出一类新的时变参数向量自回归模型，允许结构性冲击同时影响截距和自回归系数的动态变化，应用于美国经济后发现货币政策效应更大更持久，且成本推动冲击对理解通胀持久性变化很重要。
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also provided. We apply our framework to the US economy. Scenario analysis suggests that the effects of monetary policy on economic activity are larger and more persistent in the proposed models than in an otherwise standard TVP-VAR. Our results also indicate that costpush shocks play an important role in understanding historical changes in inflation persistence.