全球智库信息集成服务系统(G2TT): DP10763 When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks.

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来源类型	Discussion paper
规范类型	论文
来源ID	DP10763
	DP10763 When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks.
	Franck Portier; Paul Beaudry; Patrick Feve
发表日期	2015-08-09
出版年	2015
语种	英语
摘要	When a structural model has a nonfundamental VAR representation, standard SVAR techniques cannot be used to properly identify the effects of structural shocks. This problem is known to potentially arise when one of the structural shocks represents news about the future. However, as we shall show, in many cases the nonfundamental representation of a time series may be very close to its fundamental representation implying that standard SVAR techniques may provide a very good approximation of the effects of structural shocks even when the nonfundamentalness is formally present. This leads to the question: When is nonfundamentalness a real problem? In this paper we derive and illustrate a diagnostic based on a R2 which provides a simple means of detecting whether nonfundamentalness is likely to be a quantitatively important problem in an applied settings. We use the identification of technological news shocks in US data as our running example.
主题	Monetary Economics and Fluctuations
关键词	Business cycles News Nonfundamentalness Svar
URL	https://cepr.org/publications/dp10763
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539594
推荐引用方式 GB/T 7714	Franck Portier,Paul Beaudry,Patrick Feve. DP10763 When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks.. 2015.