| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15529 |
| DP15529 Common Component Structural VARs | |
| Mario Forni; Luca Gambetti; Marco Lippi; Luca Sala | |
| 发表日期 | 2020-12-07 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Small scale VAR models are subject to two major issues: first, the information set might be too narrow; second, many macroeconomic variables are measured with error. The two features produce distorted estimates of the impulse response functions. We propose a new procedure, called Common Components Structural VARs (CC-SVAR), which solves both problems. It consists in (a) treating the variables, prior to estimation, in order to extract their common components; this eliminates measurement errors; (b) estimating a VAR with m > q common components, that is a singular VAR, where q is the number of shocks driving the economy; this solves the fundamentalness problem. SVARs and CC-SVARs are compared in the empirical analysis of monetary policy and technology shocks. The results obtained by SVARs are not robust, in that they strongly depend on the choice and the treatment of the variables considered. On the contrary, using CCSVARs (i) contractionary monetary shocks produce a decrease of prices independently of the variables included in the model, (ii) irrespective of whether hours worked enter the model in log-levels or growth rates, technology improvements produce an increase in hours worked. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Structural var models Structural factor models Nonfundamentalness |
| URL | https://cepr.org/publications/dp15529 |
| 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/544532 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti,Marco Lippi,et al. DP15529 Common Component Structural VARs. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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