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Testing for Sufficient Information in Structural VARs

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2011

contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a … are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically. …

Persistent link: https://www.econbiz.de/10008854473

Fiscal Foresight and the Effects of Goverment Spending

Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2010

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be...

Persistent link: https://www.econbiz.de/10008468535

Labour Market Dynamics and the Business Cycle: Structural Evidence for the United States

Ravn, Morten O; Simonelli, Saverio - C.E.P.R. Discussion Papers - 2007

We use a 12-dimensional VAR to examine the dynamic effects on the labour market of four structural technology and policy shocks. For each shock, we examine the dynamic effects on the labour market, the importance of the shock for labour market volatility, and the comovement between labour market...

Persistent link: https://www.econbiz.de/10005123759

Does Information Help Recovering Structural Shocks from Past Observations?

Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2006

information? The answer to the first question is 'yes' and that to the second is 'under some conditions'. …

Persistent link: https://www.econbiz.de/10005666465

Hysteresis and Economic Fluctuations (Spain, 1970-94)

Dolado, Juan J.; López-Salido, J David - C.E.P.R. Discussion Papers - 1996

This paper uses long-run restrictions on a three-variable system containing output growth, real wage growth and the differenced unemployment rate, to isolate three 'structural' shocks which drove business cycle fluctuations in Spain during 1970-94. These shocks are interpreted as aggregate...

Persistent link: https://www.econbiz.de/10005124406

Information, Forecasts and Measurement of the Business Cycle

Evans, George W.; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1993

of the BN decomposition when the information set includes other I (1) and/or stationary variables. We show that the … relative importance of the cyclical component depends on the information set, and in particular that multivariate BN … information set includes a variable which Granger-causes output. We illustrate the results for post-war data for the United States. …

Persistent link: https://www.econbiz.de/10005123570

Explaining The Great Moderation: It Is Not The Shocks

Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2007

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism.

Persistent link: https://www.econbiz.de/10005666727

Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach

Mertens, Karel; Ravn, Morten O - C.E.P.R. Discussion Papers - 2009

often anticipated. Due to misspecification of the information set, anticipation effects may invalidate SVAR estimates of …

Persistent link: https://www.econbiz.de/10005068289

Labor-Market Heterogeneity, Aggregation, and the Lucas Critique

Chang, Yongsung; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2010

This paper assesses biases in policy predictions due to the lack of invariance of ``structural'' parameters in representative-agent models. We simulate data under various fiscal policy regimes from a heterogeneous-agents economy with incomplete asset markets and indivisible labor supply....

Persistent link: https://www.econbiz.de/10008684682

Noisy News in Business cycles

Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca - C.E.P.R. Discussion Papers - 2013

In a situation where agents can only observe a noisy signal of the shock to future economic fundamentals, SVAR models can still be successfully employed to estimate the shock and the associated impulse response functions. Identification is reached by means of dynamic rotations of the reduced...

Persistent link: https://www.econbiz.de/10011145478

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