期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identi¯cation schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to (i) elicit the prior on the non-zero contemporaneous relations between economic variables and to (ii) derive an analytical expression for the posterior distribution and marginal data density. We illustrate our methodological framework by estimating a backward look- ing New-Keynesian model taking into account prior beliefs about the contemporaneous coe±cients in the Phillips curve and Taylor rule.
