Download or read book Structural Vector Autoregressions with Markov Switching written by Helmut Herwartz and published by . This book was released on 2011 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a shortterm interest rate. The system has been used for studying the causes of the early millennium economic slowdown based on traditional identication with zero and long-run restrictions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.