Identification of Technology Shocks in Structural Vars
Bibliographic Data
| ID | 9711562 |
|---|---|
| Authors | Patrick Fève (0009-0006-4064-7775, Toulouse School of Economics University of Toulouse, GREMAQ, IDEI, IUF and Banque de France Université du Québec à Montréal, CIRPÉE and CIREQ), Alain Guay (Toulouse School of Economics University of Toulouse, GREMAQ, IDEI, IUF and Banque de France Université du Québec à Montréal, CIRPÉE and CIREQ) |
| Year | 2010 |
| Volume | 120 |
| Issue | 549 |
| Pages | 1284-1318 |
| Publication date | 2010-12-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.2009.02328.x |
| OpenAlex | W2240845094 |
| Language | EN |
| Citations received | 4 |
| References cited | 26 |
The usefulness of SVARs for developing empirically plausible models is actually subject to controversies in macroeconomics. We propose a two-step SVARs-based procedure which consistently estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle model and a sticky prices model show that our approach outperforms standard SVARs. The two-step procedure, when applied to actual data, predicts a significant short-run decrease of hours after a technology improvement followed by a hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after this shock. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009
Aggregate (composite · Business cycle · Dynamic stochastic general equilibrium · Econometrics · Economics · Identification (biology · Inflation (cosmology · Interest rate · Macroeconomics · Monetary policy · Nominal interest rate · Real interest rate · Shock (circulatory · Technology shock · Economic Growth and Productivity · Economic Policies and Impacts · Monetary Policy and Economic Impact
Estimation and Inference of Impulse Responses by Local Projections
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
Are Technology Improvements Contractionary?
Automatic Lag Selection in Covariance Matrix Estimation
Why Has U.S. Inflation Become Harder to Forecast?
Technology, Employment, and the Business Cycle
Large Sample Properties of Generalized Method of Moments Estimators
Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
When Do Long-Run Identifying Restrictions Give Reliable Results
| Citations per year | 0.19 |
|---|---|
| Citation span | 2005 - 2015 (11) |
| Highly cited | No |