| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13613 |
| DP13613 Idiosyncratic shocks: a new procedure for identifying shocks in a VAR with application to the New Keynesian model | |
| Michael R. Wickens | |
| 发表日期 | 2019-03-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | A key issue in VAR analysis is how best to identify economic shocks. The paper discusses the problems that the standard methods pose and proposes a new type of shock. Named an idiosyncratic shock, it is designed to identify the component in each VAR residual associated with the corresponding VAR variable. The procedure is applied to a calibrated New Keynesian model and to a VAR based on the same variables and using US data. The resulting impulse response functions are compared with those from standard procedures. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Var analysis Macroeconomic shocks New keynesian model |
| URL | https://cepr.org/publications/dp13613 |
| 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/542472 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens. DP13613 Idiosyncratic shocks: a new procedure for identifying shocks in a VAR with application to the New Keynesian model. 2019. |
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