Bertsche, Dominik; Brüggemann, Ralf; Kascha, Christian - In: Journal of Time Series Analysis 44 (2022) 2, pp. 223-246
included in a VAR if interest is in impulse response analysis of a given set of variables. Our theoretical contributions show … small US monetary VAR is useful for impulse response analysis as it avoids the well‐known ‘price‐puzzle’. …