Matches in SemOpenAlex for { <https://semopenalex.org/work/W3089855375> ?p ?o ?g. }
- W3089855375 abstract "Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a wide class of multivariate dynamic models with time-varying coefficients, which have a general time-varying vector moving average (VMA) representation, and nest, for instance, time-varying vector autoregression (VAR), time-varying vector autoregression moving-average (VARMA), and so forth as special cases. The paper then develops a unified estimation method for the unknown quantities before an asymptotic theory for the proposed estimators is established. In the empirical study, we investigate the transmission mechanism of monetary policy using U.S. data, and uncover a fall in the volatilities of exogenous shocks. In addition, we find that (i) monetary policy shocks have less influence on inflation before and during the so-called Great Moderation, (ii) inflation is more anchored recently, and (iii) the long-run level of inflation is below, but quite close to the Federal Reserve's target of two percent after the beginning of the Great Moderation period." @default.
- W3089855375 created "2020-10-08" @default.
- W3089855375 creator A5032509223 @default.
- W3089855375 creator A5065659844 @default.
- W3089855375 creator A5071277212 @default.
- W3089855375 date "2020-10-04" @default.
- W3089855375 modified "2023-09-27" @default.
- W3089855375 title "A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application" @default.
- W3089855375 cites W1669295700 @default.
- W3089855375 cites W1824682467 @default.
- W3089855375 cites W1971846819 @default.
- W3089855375 cites W1972684380 @default.
- W3089855375 cites W1973169171 @default.
- W3089855375 cites W1973240854 @default.
- W3089855375 cites W1996341054 @default.
- W3089855375 cites W2000647303 @default.
- W3089855375 cites W2019459021 @default.
- W3089855375 cites W2031365995 @default.
- W3089855375 cites W2032269423 @default.
- W3089855375 cites W2038454137 @default.
- W3089855375 cites W2039982886 @default.
- W3089855375 cites W2048575689 @default.
- W3089855375 cites W2067212654 @default.
- W3089855375 cites W2083459869 @default.
- W3089855375 cites W2091039812 @default.
- W3089855375 cites W2096850081 @default.
- W3089855375 cites W2110849068 @default.
- W3089855375 cites W2113037782 @default.
- W3089855375 cites W2127275073 @default.
- W3089855375 cites W2132448732 @default.
- W3089855375 cites W2157852332 @default.
- W3089855375 cites W2373943888 @default.
- W3089855375 cites W2529086294 @default.
- W3089855375 cites W2556036483 @default.
- W3089855375 cites W2611624508 @default.
- W3089855375 cites W2665040676 @default.
- W3089855375 cites W2796273868 @default.
- W3089855375 cites W2963812463 @default.
- W3089855375 cites W2964170216 @default.
- W3089855375 cites W2964320691 @default.
- W3089855375 cites W3015241628 @default.
- W3089855375 cites W3103141061 @default.
- W3089855375 cites W3122347686 @default.
- W3089855375 cites W3123527282 @default.
- W3089855375 cites W3123530756 @default.
- W3089855375 cites W3124444187 @default.
- W3089855375 cites W3124695522 @default.
- W3089855375 cites W3125888116 @default.
- W3089855375 cites W3139701703 @default.
- W3089855375 cites W3146166473 @default.
- W3089855375 cites W3204257178 @default.
- W3089855375 hasPublicationYear "2020" @default.
- W3089855375 type Work @default.
- W3089855375 sameAs 3089855375 @default.
- W3089855375 citedByCount "0" @default.
- W3089855375 crossrefType "posted-content" @default.
- W3089855375 hasAuthorship W3089855375A5032509223 @default.
- W3089855375 hasAuthorship W3089855375A5065659844 @default.
- W3089855375 hasAuthorship W3089855375A5071277212 @default.
- W3089855375 hasConcept C102366305 @default.
- W3089855375 hasConcept C105795698 @default.
- W3089855375 hasConcept C121332964 @default.
- W3089855375 hasConcept C126285488 @default.
- W3089855375 hasConcept C133029050 @default.
- W3089855375 hasConcept C139719470 @default.
- W3089855375 hasConcept C143724316 @default.
- W3089855375 hasConcept C149782125 @default.
- W3089855375 hasConcept C151406439 @default.
- W3089855375 hasConcept C151730666 @default.
- W3089855375 hasConcept C155702961 @default.
- W3089855375 hasConcept C15744967 @default.
- W3089855375 hasConcept C161584116 @default.
- W3089855375 hasConcept C162324750 @default.
- W3089855375 hasConcept C175706884 @default.
- W3089855375 hasConcept C17744445 @default.
- W3089855375 hasConcept C185429906 @default.
- W3089855375 hasConcept C199539241 @default.
- W3089855375 hasConcept C200941418 @default.
- W3089855375 hasConcept C201943243 @default.
- W3089855375 hasConcept C2776359362 @default.
- W3089855375 hasConcept C33332235 @default.
- W3089855375 hasConcept C33923547 @default.
- W3089855375 hasConcept C41008148 @default.
- W3089855375 hasConcept C542102704 @default.
- W3089855375 hasConcept C86803240 @default.
- W3089855375 hasConcept C94625758 @default.
- W3089855375 hasConceptScore W3089855375C102366305 @default.
- W3089855375 hasConceptScore W3089855375C105795698 @default.
- W3089855375 hasConceptScore W3089855375C121332964 @default.
- W3089855375 hasConceptScore W3089855375C126285488 @default.
- W3089855375 hasConceptScore W3089855375C133029050 @default.
- W3089855375 hasConceptScore W3089855375C139719470 @default.
- W3089855375 hasConceptScore W3089855375C143724316 @default.
- W3089855375 hasConceptScore W3089855375C149782125 @default.
- W3089855375 hasConceptScore W3089855375C151406439 @default.
- W3089855375 hasConceptScore W3089855375C151730666 @default.
- W3089855375 hasConceptScore W3089855375C155702961 @default.
- W3089855375 hasConceptScore W3089855375C15744967 @default.
- W3089855375 hasConceptScore W3089855375C161584116 @default.
- W3089855375 hasConceptScore W3089855375C162324750 @default.