Template-type: ReDif-Paper 1.0
Author-Name: Sun, Hang
Author-workplace-name: Finance, RS: GSBE EFME
Author-Name: Bos, Jaap W.B.
Author-workplace-name: Finance, RS: GSBE EFME
Author-Name: Li, Zhuo
Title: In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market
Abstract: Many economic analyses revolve around the identification of shocks. However, this becomes difficult if we do not have enough information, for example because we do not observe the underlying process at a high enough frequency. As a result, if the response of one variable to a shock to another takes place `in the nick of time' this shock remains unidentified. We introduce a structural vector-autoregression model with Markov-switching heteroskedasticity in the data generating process that allows us to study instantaneous impulse-response relationships with the proper selection of a supporting `catalyst', which can be easier to find than an instrumental variable.
Classification-JEL: g13,c32,q02
Series: GSBE Research Memoranda
Creation-Date: 20170831
Number: 019
File-URL: https://cris.maastrichtuniversity.nl/ws/files/15854736/RM17019.pdf
File-Format: application/pdf
File-Size: 939748
Handle: Repec:unm:umagsb:2017019
DOI: 10.26481/umagsb.2017019