Comparing two methods for the identification of news shocks


Beaudry, Paul ; Portier, Franck ; Seymen, Atilim


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URL: https://ub-madoc.bib.uni-mannheim.de/35363
URN: urn:nbn:de:bsz:180-madoc-353631
Document Type: Working paper
Year of publication: 2013
The title of a journal, publication series: ZEW Discussion Papers
Volume: 13-110
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > Zentrum für Europ. Wirtschaftsforschung (ZEW)
MADOC publication series: Veröffentlichungen des ZEW (Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C32 , E32,
Keywords (English): News shocks , structural VAR , identification
Abstract: Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology—news—shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the extent to which two prominent structural VAR approaches can be useful in recuperating news shock dynamics from artificially generated data in general and (ii) why and to what extent these SVAR approaches differ in the results they deliver in particular. Thereby, we provide several insights for the users of both VAR techniques with small samples in practice.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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