A Time-varying Structural VAR Method for the Effects of Oil Shocks on US Dollars

摘要

In order to compare the difference in the transmission of positive and negative oil shocks on US dollar, a time-varying structural VAR model with oil shocks and US dollar exchange rates is proposed in this paper. By extending the basic time-varying structural VAR model, two structure orthogonal oil shocks can be gained by changing the time-varying state space matrix. Then, the net effects of positive and negative oil shocks are calculated by an accumulated contribution model and the rolling regression. Finally, the corresponding reasons for the conclusions are presented.