The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach

By Andrea Carriero, Haroon Mumtaz, Konstantinos Theodoridis, Angeliki Theophilopoulou. 2015

126 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/bf0635268c9413f2428d6ae8c71e44662f2cc913

Citations in the corpus

• Measuring Uncertainty and Its Impact on the Economy (2016, unknown): “, Carriero et al., 2015). However, with large models, it is far faster to exploit the triangularization—obtaining the same posterior provided by standard system solutions—discussed in Carriero et al. (2016b) and estimate the VAR coefficients on an equation-by-equation basis.”
• Identifying Uncertainty Shocks Using the Price of Gold (2018, unknown): “For this reason, we prefer to inform our dummies using the price of safe haven assets, rather than a dummy variable in correspondence to the peaks of the VXO, as proposed by Carriero et al. (2015).”