STRUCTURAL VECTOR AUTOREGRESSION MODEL

Sims (1980) introduced structural vector autoregressive (SVAR) models as an alternative to the large-scale macroeconometric models used in academic and policy work at the time. Since that point in time, this methodology has gained widespread use in applied time series research. These models are used today to address a number of important questions that include: What factors influence business cycle fluctuations? Are demand and supply disturbances equally important economic forces that influence cyclical behavior over time and across countries? What is the effect of a monetary policy shock? Do oil prices shocks contribute to recessions? How does the central bank respond to shocks in macroeconomic variables?

The dropbox folder contains exercises, research papers and industry cases that will be covered in linear regression.