no code implementations • 8 May 2024 • Emanuele Bacchiocchi, Toru Kitagawa
Such constraints can be either (a) in the form of stability restrictions, indicating that not all the parameters or impulse responses are subject to structural changes, or (b) in terms of inequalities regarding particular characteristics of the SVAR-WB across the regimes.
no code implementations • 16 Mar 2024 • Emanuele Bacchiocchi, Andrea Bastianin, Graziano Moramarco
We estimate the short-run effects of severe weather shocks on local economic activity and cross-border spillovers operating through economic linkages between U. S. states.
no code implementations • 11 Mar 2024 • Emanuele Bacchiocchi, Andrea Bastianin, Toru Kitagawa, Elisabetta Mirto
This paper studies the identification of Structural Vector Autoregressions (SVARs) exploiting a break in the variances of the structural shocks.
no code implementations • 12 Feb 2021 • Emanuele Bacchiocchi, Catalin Dragomirescu-Gaina
No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications.
no code implementations • 8 Feb 2021 • Emanuele Bacchiocchi, Toru Kitagawa
In a landmark contribution to the structural vector autoregression (SVARs) literature, Rubio-Ramirez, Waggoner, and Zha (2010, `Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic Studies) shows a necessary and sufficient condition for equality restrictions to globally identify the structural parameters of a SVAR.
