Fève, Patrick; Jidoud, Ahmat - Institut d'Économie Industrielle (IDEI), Toulouse … - 2012
This paper assesses SVARs as relevant tools at identifying the aggregate effects of news shocks. When the econometrician and private agents’ information sets are not aligned, the dynamic responses identified from SVARs are biased. However, the bias vanishes when news shocks account for the...
