Féve, Patrick; Jidoud, Ahmat - In: Journal of Macroeconomics 34 (2012) 4, pp. 919-932
This paper investigates the reliability of SVARs in identifying the dynamic effects of news shocks. Using a simple but insightful model with a non-fundamental representation, we show analytically under which conditions SVARs are likely to be successful at identifying news shocks. We find that...