Bayesian Analysis of Recursive SVAR Models with Overidentifying Restrictions

21 Pages Posted: 22 Nov 2012

See all articles by Andrzej Kociecki

Andrzej Kociecki

National Bank of Poland

Michał Rubaszek

National Bank of Poland; Warsaw School of Economics (SGH)

Michele Ca' Zorzi

European Central Bank (ECB)

Date Written: November 15, 2012

Abstract

The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to elicit the prior on the non-zero contemporaneous relations between economic variables and to derive an analytical expression for the posterior distribution and marginal data density. We illustrate our methodological framework by estimating a backward looking New-Keynesian model taking into account prior beliefs about the contemporaneous coefficients in the Phillips curve and Taylor rule.

Keywords: structural VAR, Bayesian inference, overidentifying restrictions

JEL Classification: C11, C32, E47

Suggested Citation

Kociecki, Andrzej and Rubaszek, Michal and Ca' Zorzi, Michele, Bayesian Analysis of Recursive SVAR Models with Overidentifying Restrictions (November 15, 2012). ECB Working Paper No. 1492. Available at SSRN: https://ssrn.com/abstract=2176112

Andrzej Kociecki (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Michal Rubaszek

National Bank of Poland ( email )

00-919 Warsaw
Poland

Warsaw School of Economics (SGH) ( email )

aleja Niepodleglosci 162
PL-Warsaw, 02-554
Poland

Michele Ca' Zorzi

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
56
Abstract Views
368
rank
371,995
PlumX Metrics