Common Components Structural VARs

Datos Bibliográficos

ID19420207
AutoresMario Forni (0000-0003-0256-8735, Università di Modena e Reggio Emilia and RECent), Luca Gambetti (Universitat Autònoma de Barcelona and BGSE), Marco Lippi (0000-0002-9663-1071, Einaudi Institute for Economics and Finance), Luca Sala (0000-0001-8528-031X, Università Bocconi, IGIER and Baffi Carefin, autor de correspondencia)
Año2026
Volumen44
Número1
Páginas39-52
Fecha de publicación2026-01-02
Peer ReviewedSí
Open AccessNo
TipoARTICLE
RevistaJournal of Business and Economic Statistics (JOURNAL)
Identificadores de la revistaISSN: 0735-0015 • E-ISSN: 1537-2707
EditorialInforma UK Limited (PUBLISHER • GB)
DOI10.1080/07350015.2025.2495030
OpenAlexW3132579475
IdiomaEN
Citas recibidas1
Referencias citadas39

Structural VAR models (SVAR) produce results that can vary dramatically with the choice of variables, because information is deficient. We argue that if the variables of interest belong to a High-Dimensional Factor Model and are replaced in the SVAR by their common components, the information issue finds a solution, provided that the number of common components is larger than the number of structural shocks, so that the SVAR is dynamically singular. This is the Common Components Structural VAR (CC-SVAR). Our main contribution is that we prove consistency of our CC-SVAR estimates, which is far from trivial as our estimated SVAR tends to dynamic singularity. We apply our procedure to monetary policy shocks, finding that, with the CC-SVAR, results are robust to the choice of variables and well-known puzzles disappear

Econometrics · Economics · Impulse response · Macroeconomics · Monetary policy · Economic Theory and Policy · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact