The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to identical structural VARs run on data from the model of the same length as the actual data. Chari, Kehoe, and...

This study investigates the influence of oil price shocks on GDP per capita, exchange rate, and total trade turnover in Azerbaijan using Structural Vector Autoregressive (SVAR) method to data collected from 1992 2019. The estimation results SVAR conclude that (rise prices) affect capita positively, whereas its rate is negative case Azerbaijan. According this study, similar oil-exporting countri...

In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the longand the short-term nominal interest rates, (ii) the long-term real interest rate, and (iii) a long-run demand for broad money M3. There is evidence that the determina...

This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a prior distribution that covers the parameter space both where the restrictions are satisfied and whe...