Reduced-rank time-varying Vector Autoregressions

Time: 2011, Tuesday November 29, 13.00-14.00 hours
Location: CPB-office, Van Stolkweg 14, The Hague

Presentation: Joris de Wind (University of Amsterdam)

Discussant: Adam Elbourne (CPB)

Language: English

Registration:  Please register by sending an email to seminars@cpb.nl.

Abstract subject: We propose a new empirical model to study, characterize, and interpret changes in macroeconomic dynamics. The model is a Vector Autoregression (VAR) with time-varying parameters. But it differs from the standard time-varying VAR in that the reduced-form coefficients are driven by a smaller number of shocks. The idea is that there are few sources of structural change that drive variations of all the reduced-form parameters. We show how to estimate such a model using Bayesian techniques. As an application we study the role of financial innovations as a source of changes in macroeconomic dynamics in the US.

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