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QRFE Seminar: Dr. Michele Piffer from King's Business School

Thursday, 21 November 2019
14:00 to 15:00
Dr. Michele Piffer from King's Business School
Durham University Business School Room 403

Title: Moving beyond the recursive identification in Smooth Transition Structural VAR models: an application to monetary policy shocks


We develop a methodology that allows for the identification of Smooth Transition Structural Vector Autoregressive models using sign restrictions, external instruments, or a combination of the two. In so doing, we offer an alternative to the recursive identification approach, which is the only approach currently available for such models. We apply our methodology to revisit the work by Gertler and Karadi and study how the effects of monetary policy shocks change depending on whether the economy is closer to a recession or to an expansion.

More about the author.

PhD students are recommended to attend the seminar and talk to the speaker. Our PhD students should see these seminars as part of their training, which will help them in their thesis.