论文标题
一类时变矢量移动平均模型：非参数内核估计和应用
A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
论文作者
论文摘要
多变量动态时间序列模型在实践研究中广泛遇到，例如对策略传输机制进行建模和测量经济代理之间的联系。为了更好地捕获动力学，本文提出了具有时变系数的各种多元动态模型，它们具有一般时间变化的矢量移动平均值（VMA）表示，例如，随时间变化的矢量自动化（VAR），时变时间变化的矢量自动导向载体自动导向载体自动导量移动（varma）和特殊案例和特殊案例和特殊情况。然后，本文在建立了提出的估计量的渐近理论之前，为未知数量的统一估计方法开发了一种统一的估计方法。在实证研究中，我们使用美国数据研究了货币政策的传输机制，并发现了外源性冲击的波动率下降。此外，我们发现（i）（i）货币政策冲击对所谓的大节制前后的通货膨胀影响较小，（ii）通货膨胀率最近更为锚定，（iii）长期的通货膨胀水平低于低于，但接近美联储开始后的2％的目标，这很接近。
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a wide class of multivariate dynamic models with time-varying coefficients, which have a general time-varying vector moving average (VMA) representation, and nest, for instance, time-varying vector autoregression (VAR), time-varying vector autoregression moving-average (VARMA), and so forth as special cases. The paper then develops a unified estimation method for the unknown quantities before an asymptotic theory for the proposed estimators is established. In the empirical study, we investigate the transmission mechanism of monetary policy using U.S. data, and uncover a fall in the volatilities of exogenous shocks. In addition, we find that (i) monetary policy shocks have less influence on inflation before and during the so-called Great Moderation, (ii) inflation is more anchored recently, and (iii) the long-run level of inflation is below, but quite close to the Federal Reserve's target of two percent after the beginning of the Great Moderation period.
