• Economic Analysis Seminar Nov 18 , Danilo Leiva-León (Banco de España)

  • Start: Wednesday, 18 November 13:00
    End: Wednesday, 18 November 15:00
  • UCM Facultad de Ciencias Económicas y Empresariales, Campus de Somosaguas, Pozuelo de Alarcón, España
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    Dept. Economic Analysis

    Research Seminars

    Dear all,
     
    The following  virtual seminar will take place next week:

    Department of Economic Analysis & ICAE Research Seminars:

    WEDNESDAY, November 18th, 2020, 13:00 h

    Danilo Leiva-León (Banco de España)

    Title: Endogenous Time Variation in Vector Autoregressions (joint with   Luis Uzeda, Bank of Canada)

    Abstract

    We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also provided. We apply our framework to the US economy. Scenario analysis suggests that the effects of monetary policy on economic activity are larger and more persistent in the proposed models than in an otherwise standard TVP-VAR. Our results also indicate that cost-push shocks play an important role in understanding historical changes in inflation persistence.

     

    You can join the  seminar through Google Hangout Meets at the following link:

    @ucm accounts are granted immediate access to the webinar. External accounts require explicit approval by the moderators.

    You can find the recording of the talk  as well as previous sessions, papers, and the schedule of upcoming seminars at the seminar’s webpage

    Hope to see you all there.
    Best,
    Jimenez-Martin, Juan-Ángel 
    Rodríguez Álvarez, Carmelo 
    Rodríguez Hernández, Juan Gabriel