prices related (news) and not related (noise) to future fundamentals. I provide empirical evidence of the sizable … macroeconomic effects of news and noise shocks. Following Forni et al. (2014, 2016), I identify news and noise shocks through a non … frequencies, but in the short-medium horizon noise shocks explain a large share of the variability in housing prices, residential …

Portuguese micro bank data. In contrast to the conventional approach, which addresses the identification issue by resorting to …

rate. We show how this information can be used to achieve identification without having to make the usual strong assumption …

identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the …

observational equivalence, partial and weak identification problems are widespread, that they lead to biased estimates, unreliable t … identification and study how small samples interact with parameters and shock identification. We provide diagnostics and tests to … detect identification failures and apply them to a state-of-the-art model. …

, with both real and nominal frictions, and with sufficiently wide ranges for their parameterers. This identification …