论文标题
结构性高斯混合物矢量自回归模型，并应用于货币政策冲击的不对称效应
Structural Gaussian mixture vector autoregressive model with application to the asymmetric effects of monetary policy shocks
论文作者
论文摘要
引入了结构性高斯混合物自回旋模型。通过将降低形式误差协方差矩阵的对角线同时对角线与对时变的冲击矩阵的约束结合来确定冲击。这会导致灵活的识别条件，并且一些约束也可以测试。经验应用研究在美国货币政策冲击的影响方面不对称，并发现冲击的迹象和大小和经济的最初状态都有强烈的不对称性。随附的cran分布式R软件包GMVarkit提供了一套全面的数值分析工具。
A structural Gaussian mixture vector autoregressive model is introduced. The shocks are identified by combining simultaneous diagonalization of the reduced form error covariance matrices with constraints on the time-varying impact matrix. This leads to flexible identification conditions, and some of the constraints are also testable. The empirical application studies asymmetries in the effects of the U.S. monetary policy shock and finds strong asymmetries with respect to the sign and size of the shock and to the initial state of the economy. The accompanying CRAN distributed R package gmvarkit provides a comprehensive set of tools for numerical analysis.
