349 research outputs found
Sufficient Information in Structural VARs
We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. contains enough information to estimate the structural shocks with a VAR
model. Based on such conditions, we provide a procedure to test for informational sufficiency.
If sufficiency is rejected, we propose a strategy to amend the VAR. Our method can be applied
to FAVAR models and can be used to determine how many factors to include in such models.
We apply our procedure to a VAR including TFP, unemployment and per-capita hours worked.
We find that the three variables are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically
Macroeconomic Uncertainty and Vector Autoregressions
We estimate macroeconomic uncertainty and the effects of uncertainty shocks by
means of a new procedure based on standard VARs. Under suitable assumptions,
our procedure is equivalent to using the square of the VAR forecast error as an external instrument in a proxy SVAR. We add orthogonality constraints to the standard
proxy SVAR identification scheme. We also derive a VAR-based measure of uncertainty. We apply our method to a US data set; we find that uncertainty is mainly
exogenous and is responsible of a large fraction of business-cycle fluctuations
Asymmetric Effects of Monetary Policy Easing and Tightening
Monetary policy easing and tightening have asymmetric effects: a policy easing has large
effects on prices but small effects on real activity variables. The opposite is found for a
policy tightening: large real effects but small effects on prices. Non-linearities are estimated
using a new and simple procedure based on linear Structural Vector Autoregressions with
exogenous variables (SVARX). We rationalize the results through the lenses of a simple
model with downward nominal wage rigidities
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