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贝叶斯视角下符号约束与时变随机波动SVAR模型的实现与应用

• 出版日期:2017-11-15 发布日期:2017-11-25

The Realization and Application of Sign-restriction and Time-varying Stochastic Volatility SVAR Model under the Bayesian Perspective

Su Zhi Liu Chengcheng Song Zhigang

• Online:2017-11-15 Published:2017-11-25

Abstract: The traditional identification methods of SVAR model are more concerned with equality constraints, that is, by means of strict equations to constrain the structural parameters or impulse response functions in the model, so as to implement the identification and the estimation of model parameters, while sign-restriction can avoid the lacking of theoretical basis effectively by transforming the existing economic theory background into a priori information and restricting the relationship between the variables by means of inequality. With the deepening of economic and social reform, the coefficients of variables and the variance―covariance matrix of error terms both change with time, showing obvious temporal characteristics, and the fixed parameters can’t effectively portray the dynamic changing relationships in economy, the advantages of TVP-SV-SVAR models have become increasingly prominent; an important feature of a Bayesian estimation is to combine the priori with the sample information, and to apply the Bayesian theorem to obtain the posterior distribution of the parameters to determine the final estimation. Thus, the accuracy and the reliability of estimation are greatly improved. Based on this, this paper systematically expounds the setup and the Bayesian estimation process of TVP-SV-SVAR model, and applies it to the study of the effectiveness of China’s monetary policy. In addition, it also compares the effectiveness of Sign-SVAR, TVP-SVAR as well as TVP-SV-SVAR model. The empirical results further show that TVP-SV-SVAR models are more advantageous in the analysis of Macroeconomic policy issues.