Martin Bruns

University of East Anglia (UEA) - School of Economics

3.06, Registry

University of East Anglia

Norwich, NR4 7TJ

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS

624

TOTAL CITATIONS
Rank 38,468

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Top 38,468

in Total Papers Citations

21

Scholarly Papers (10)

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

Number of pages: 56 Posted: 28 May 2021 Last Revised: 02 Aug 2022
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and German Institute for Economic Research (DIW Berlin)
Downloads 67 (691,607)

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Structural vector autoregression, local projection, impulse responses, instrumental variable

Comparison of Local Projection Estimators for Proxy Vector Autoregressions

DIW Berlin Discussion Paper No. 1949
Number of pages: 58 Posted: 15 Jun 2021
Martin Bruns and Helmut Lütkepohl
University of East Anglia (UEA) - School of Economics and Free University of Berlin (FUB)
Downloads 61 (725,677)
Citation 7

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Structural vector autoregression, local projection, impulse responses, instrumental variable

2.

Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses

DIW Berlin Discussion Paper No. 1796 (2019)
Number of pages: 37 Posted: 06 Apr 2019 Last Revised: 06 May 2021
Martin Bruns and Michele Piffer
University of East Anglia (UEA) - School of Economics and King’s College London
Downloads 124 (460,044)
Citation 6

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Sign restrictions, Bayesian inference, Oil market

Proxy VAR Models in a Data-Rich Environment

DIW Berlin Discussion Paper No. 1831
Number of pages: 45 Posted: 27 Nov 2019
Martin Bruns
University of East Anglia (UEA) - School of Economics
Downloads 61 (725,677)

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dynamic factor models, external instruments, monetary policy, uncertainty shocks

Proxy VAR Models in a Data-Rich Environment

Number of pages: 46 Posted: 22 Nov 2019
Martin Bruns
University of East Anglia (UEA) - School of Economics
Downloads 36 (909,856)

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dynamic factor models, external instruments, monetary policy, uncertainty shocks

4.

Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

DIW Berlin Discussion Paper No. 2005, 2022
Number of pages: 42 Posted: 18 May 2022
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and German Institute for Economic Research (DIW Berlin)
Downloads 82 (609,752)

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Structural vector autoregression, proxy VAR, heteroskedasticity, productivity shocks

5.

Leading Indicators of Fiscal Distress: Evidence from the Extreme Bound Analysis

IMF Working Paper No. 16/28
Number of pages: 38 Posted: 28 Mar 2016
Martin Bruns and Tigran Poghosyan
University of East Anglia (UEA) - School of Economics and International Monetary Fund (IMF)
Downloads 59 (722,881)
Citation 1

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fiscal distress, extreme bound analysis, debt, currency, inflation, emerging economies, default, Studies of Particular Policy Episodes, General Outlook and Conditions, Forecasting and Simulation, All Countries,

6.

An Alternative Bootstrap for Proxy Vector Autoregressions

DIW Berlin Discussion Paper No. 1913
Number of pages: 27 Posted: 17 Nov 2020
Martin Bruns and Helmut Lütkepohl
University of East Anglia (UEA) - School of Economics and Free University of Berlin (FUB)
Downloads 50 (778,805)
Citation 4

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Bootstrap inference, structural vector autoregression, impulse responses, instrumental variable

7.

Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

DIW Berlin Discussion Paper No. 2036
Number of pages: 24 Posted: 23 May 2023
Martin Bruns and Helmut Lütkepohl
University of East Anglia (UEA) - School of Economics and Free University of Berlin (FUB)
Downloads 42 (836,398)
Citation 2

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Structural vector autoregression, heteroskedastic VAR, proxy VAR, crude oil market

8.

Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis

Number of pages: 39 Posted: 16 Aug 2024
Martin Bruns, Helmut Luetkepohl and James McNeil
University of East Anglia (UEA) - School of Economics, German Institute for Economic Research (DIW Berlin) and Dalhousie University
Downloads 17 (1,083,480)

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Structural vector autoregression, proxy VAR, external instruments, correlated shocks, Generalized Method of Moments

9.

Heteroskedastic Proxy Vector Autoregressions: An Identification-Robust Test for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Number of pages: 37 Posted: 21 Nov 2023
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and Free University of Berlin
Downloads 14 (1,120,389)
Citation 1

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Structural vector autoregression, proxy VAR, heteroskedasticity, productivity shocks, structural change

10.

Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions

DIW Berlin Discussion Paper No. 2103
Number of pages: 26 Posted: 09 Dec 2024
Martin Bruns and Helmut Luetkepohl
University of East Anglia (UEA) - School of Economics and German Institute for Economic Research (DIW Berlin)
Downloads 11 (1,157,504)

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Structural vector autoregression, heteroskedasticity, cointegration, structural vector error correction model