[PDF] The Power Of Long Run Structural Vars eBook

Author : Christopher J. Gust
Publisher :
Page : 42 pages
File Size : 16,81 MB
Release : 2009
Category : Autoregression (Statistics)
ISBN :

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Are structural vector autoregressions (VARs) useful for discriminating between macro models? Recent assessments of VARs have shown that these statistical methods have adequate size properties. In other words, in simulation exercises, VARs will only infrequently reject the true data generating process. However, in assessing a statistical test, we often also care about power: the ability of the test to reject a false hypothesis. Much less is known about the power of structural VARs. This paper attempts to fill in this gap by exploring the power of long-run structural VARs against a set of DSGE models that vary in degree from the true data generating process. We report results for two tests: the standard test of checking the sign on impact and a test of the shape of the response. For the models studied here, testing the shape is a more powerful test than simply looking at the sign of the response. In addition, relative to an alternative statistical test based on sample correlations, we find that the shape-based tests have greater power. Given the results on the power and size properties of long-run VARs, we conclude that these VARs are useful for discriminating between macro models.

Author : Lutz Kilian
Publisher : Cambridge University Press
Page : 757 pages
File Size : 11,99 MB
Release : 2017-11-23
Category : Business & Economics
ISBN : 1107196574

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This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Author : Nigar Hashimzade
Publisher : Edward Elgar Publishing
Page : 627 pages
File Size : 22,17 MB
Release : 2013-01-01
Category : Business & Economics
ISBN : 0857931024

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This comprehensive Handbook presents the current state of art in the theory and methodology of macroeconomic data analysis. It is intended as a reference for graduate students and researchers interested in exploring new methodologies, but can also be employed as a graduate text. The Handbook concentrates on the most important issues, models and techniques for research in macroeconomics, and highlights the core methodologies and their empirical application in an accessible manner. Each chapter is largely self-contained, whilst the comprehensive introduction provides an overview of the key statistical concepts and methods. All of the chapters include the essential references for each topic and provide a sound guide for further reading. Topics covered include unit roots, non-linearities and structural breaks, time aggregation, forecasting, the Kalman filter, generalised method of moments, maximum likelihood and Bayesian estimation, vector autoregressive, dynamic stochastic general equilibrium and dynamic panel models. Presenting the most important models and techniques for empirical research, this Handbook will appeal to students, researchers and academics working in empirical macro and econometrics.

Author : Woon Gyu Choi
Publisher : International Monetary Fund
Page : 29 pages
File Size : 15,58 MB
Release : 2010-01-01
Category : Business & Economics
ISBN : 1451918682

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This paper uncovers Taylor rules from estimated monetary policy reactions using a structural VAR on U.S. data from 1959 to 2009. These Taylor rules reveal the dynamic nature of policy responses to different structural shocks. We find that U.S. monetary policy has been far more responsive over time to demand shocks than to supply shocks, and more aggressive toward inflation than output growth. Our estimated dynamic policy coefficients characterize the style of policy as a "bang-bang" control for the pre-1979 period and as a gradual control for the post-1979 period.

Author : Mr.Jiaqian Chen
Publisher : International Monetary Fund
Page : 28 pages
File Size : 27,45 MB
Release : 2020-02-07
Category : Business & Economics
ISBN : 151352786X

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We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.

Author : Mr.Pau Rabanal
Publisher : International Monetary Fund
Page : 68 pages
File Size : 29,40 MB
Release : 2004-12-01
Category : Business & Economics
ISBN : 1451875657

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Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.

Author : Luca Guerrieri
Publisher : DIANE Publishing
Page : 47 pages
File Size : 24,2 MB
Release : 2011-05
Category : Business & Economics
ISBN : 1437939074

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IST shocks are often interpreted as multi-factor productivity (MFP) shocks in a separate investment-producing sector. However, this interpretation is strictly valid only when some stringent conditions are satisfied. Some of these conditions are at odds with the data. Using a two-sector model whose calibration is based on the U.S. Input-Output Tables, the authors consider the implications of relaxing several of these conditions. They show how the effects of IST shocks in a one-sector model differ from those of MFP shocks to an investment-producing sector of a two-sector model. MFP shocks induce a positive short-run correlation between consumption and investment consistent with U.S. data, while IST shocks do not. Illus. This is a print on demand report.

Author : Woon Gyu Choi
Publisher : International Monetary Fund
Page : 28 pages
File Size : 25,52 MB
Release : 2010-01-01
Category : Business & Economics
ISBN : 1451962290

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This paper uncovers Taylor rules from estimated monetary policy reactions using a structural VAR on U.S. data from 1959 to 2009. These Taylor rules reveal the dynamic nature of policy responses to different structural shocks. We find that U.S. monetary policy has been far more responsive over time to demand shocks than to supply shocks, and more aggressive toward inflation than output growth. Our estimated dynamic policy coefficients characterize the style of policy as a "bang-bang" control for the pre-1979 period and as a gradual control for the post-1979 period.

Author : Jaewoo Lee
Publisher :
Page : 42 pages
File Size : 23,46 MB
Release : 1998
Category : Balance of payments
ISBN :

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A sticky-price model is used to motivate a structural VAR analysis of the current account and the real exchange rate for seven major industrialized countries (the US, Canada, the UK, Japan, Germany, France and Italy). The analysis is distinguished from previous work in that it adopts minimal assumptions for identification. The empirical results are consistent with the theoretical model, as well as the sticky price intertemporal model of Obstfeld and Rogoff (1995). Permanent shocks to productivity have large long term effects on the real exchange rate, but relatively small effects on the current account; money shocks have large effects on the current account and exchange rate in the short run, but not on either variable in the long run.