Endogenous Time Variation in Vector Autoregressions
提出一类新的时变参数向量自回归模型，允许结构性冲击影响系数动态，并给出估计算法。应用于美国经济发现，考虑冲击对系数的影响后，货币政策对经济活动的影响更大更持久，成本推动冲击对理解通胀持续性变化很重要。
Abstract We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence the dynamics of the coefficients in these models. An estimation algorithm and a parameterization conducive to model comparison are also provided. We apply our framework to the U.S. economy. Scenario analysis suggests that once accounting for the influence of structural shocks on the autoregressive coefficients, the effects of monetary policy on economic activity are larger and more persistent than in an otherwise standard TVP-VAR. Our results also indicate that cost-push shocks play a prominent role in understanding historical changes in inflation-gap persistence.