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Implications of Dynamic Factor Models for VAR Analysis

Stock, James H.; Watson, Mark W. - 2022

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10013322868

Structural Interpretation of Vector Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks

Baumeister, Christiane - 2018

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions...

Persistent link: https://www.econbiz.de/10012931213

The Sources and Nature of Long-Term Memory in the Business Cycle

Haubrich, Joseph Gerard; Lo, Andrew W. - 2021

This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation...

Persistent link: https://www.econbiz.de/10013218327

Business Cycle Anatomy

Angeletos, George-Marios - 2018

We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mechanism that best describes the data, and use its properties to appraise models of both the parsimonious and the medium-scale variety. Our findings support the...

Persistent link: https://www.econbiz.de/10012913777

Shock Elasticities and Impulse Responses

Borovička, Jaroslav - 2014

We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse … response functions measure the importance of next-period shocks for future values of a time series. Shock elasticities measure … the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next …

Persistent link: https://www.econbiz.de/10013054043

When is Nonfundamentalness in Vars a Real Problem? an Application to News Shocks

Beaudry, Paul - 2015

When the VAR representation of a times series has a non-fundamental representation, standard SVAR techniques cannot be used to exactly identify the effects of structural shocks. This problem is know to potentially arise when one of the structural shocks represents news about the future. However,...

Persistent link: https://www.econbiz.de/10013017491

Permanent and Transitory Components in Macroeconomic Fluctuations

Campbell, John Y.; Mankiw, Nicholas Gregory - 2021

Fluctuations in real GNP have traditionally been viewed as transitory deviations from a deterministic time trend. The purpose of this paper is to review some of the recent developments that have led to a new view of output fluctuations and then to provide some additional evidence. Using post-war...

Persistent link: https://www.econbiz.de/10013312506

Temporary Price Changes and the Real Effects of Monetary Policy

Kehoe, Patrick J. - 2008

In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and take one of two shortcuts when confronted with the data: drop temporary changes from the data or leave them in and treat them as permanent. We provide a menu cost model that...

Persistent link: https://www.econbiz.de/10012769878

Shocks

Cochrane, John H. - 2021

What are the shocks that drive economic fluctuations? I examine technology and money shocks in some detail, and briefly review the evidence on oil price and credit shocks. I conclude that none of these popular candidates accounts for the bulk of economic fluctuations. I then examine whether...

Persistent link: https://www.econbiz.de/10013229832

The Macroeconomic Effects of Oil Shocks : Why are the 2000s so Different from the 1970s?

Blanchard, Olivier - 2014

We characterize the macroeconomic performance of a set of industrialized economies in the aftermath of the oil price shocks of the 1970s and of the last decade, focusing on the differences across episodes. We examine four different hypotheses for the mild effects on inflation and economic...

Persistent link: https://www.econbiz.de/10012751823