exchange rate in a sticky-price business cycle model. This paper reveals that these shocks are important for the volatility of … the most important source of real exchange rate volatility. At business cycle frequencies, however, three supply shocks …

estimated optimal series very sensitive to small-sample estimation error, making it almost impossible to determine whether the …

estimated optimal series very sensitive to small-sample estimation error, making it close to impossible to determine whether the …

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …