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Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

Ehrmann, Michael; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2015

identification. The paper finds that euro area government bond markets were well integrated prior to the crisis, but saw a …

Persistent link: https://www.econbiz.de/10011276387

Structural Vector Autoregressions

Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

of this literature. It focuses on alternative approaches to the identification of structural shocks within the framework …

Persistent link: https://www.econbiz.de/10009201117

How much structure in empirical models?

Canova, Fabio - C.E.P.R. Discussion Papers - 2008

identification problems due, in large part, to the nature of DSGE models. The problems can be patched up in a number of ways, but …

Persistent link: https://www.econbiz.de/10005662393

Does Information Help Recovering Structural Shocks from Past Observations?

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

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first question is 'yes' and...

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

On the Indeterminacy of Determinacy and Indeterminacy

Beyer, Andreas; Farmer, Roger E A - C.E.P.R. Discussion Papers - 2003

A number of authors have attempted to test whether the US economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1 displays an...

Persistent link: https://www.econbiz.de/10005666730

Monetary Policy Misspecification in VAR Models

Canova, Fabio; Pina, Joaquim Pivis - C.E.P.R. Discussion Papers - 1999

We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients...

Persistent link: https://www.econbiz.de/10005666752

Wage Rigidities in Western Germany: Microeconometric Evidence from the 1990s

Puhani, Patrick A - C.E.P.R. Discussion Papers - 2001

This Paper investigates whether and in what sense the west German wage structure has been ‘rigid’ in the 1990s. To test the hypothesis that a rigid wage structure has been responsible for rising low-skilled unemployment, I propose a methodology that makes less restrictive identifying...

Persistent link: https://www.econbiz.de/10005666858

On the Identification of Relative Wage Rigidity Dynamics: A Proposal for a Methodology on Cross-Section Data and Empirical Evidence for Poland in Transition

Puhani, Patrick A - C.E.P.R. Discussion Papers - 2001

We present a new and simple empirical methodology to identify relative wage rigidity dynamics. The methodology is applied to data from the Polish Labour Force Survey for the period 1994 to 1998. We estimate ceteris paribus changes in relative wage and unemployment differentials for various...

Persistent link: https://www.econbiz.de/10005666923

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - C.E.P.R. Discussion Papers - 2009

We investigate identification issues in DSGE models and their consequences for parameter estimation and model … equivalence, partial and weak identification problems are widespread and typically produced by an ill-behaved mapping between the … structural parameters and the coefficients of the solution. Different objective functions affect identification and small samples …

Persistent link: https://www.econbiz.de/10004990850

Identifying Monetary Policy Shocks in Japan

Shioji, Etsuro - C.E.P.R. Discussion Papers - 1997

It is sometimes argued that central banks influence the private economy in the short run through controlling a specific component of high powered money, not its total amount. Using a structural VAR approach, this paper evaluates this claim empirically, in the context of the Japanese economy. It...

Persistent link: https://www.econbiz.de/10005789026