Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions

Chaudourne, Jeremy and Fève, Patrick (2012) Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions. TSE Working Paper, n. 12-331, Toulouse

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Official URL: http://tse-fr.eu/pub/26112

Abstract

This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs) with a highly persistent variable as hours worked and long-run identifying
restrictions. The highly persistent variable is specified as a nearly stationary persistent process. Such process appears particularly well suited to characterized the dynamics of hours
worked because it implies a unit root in finite sample but is asymptotically stationary and persistent. This is typically the case for per capita hours worked which are included in SVARs.
Theoretical results derived from this specification allow to explain most of the empirical findings from SVARs which include U.S. hours worked. Simulation experiments from an estimated
DSGE model confirm theoretical results.

Item Type: Monograph (Working Paper)
Language: English
Date: August 2012
Place of Publication: Toulouse
Uncontrolled Keywords: SVARs, long-run restrictions, locally nonstationary process, technology shocks, hours worked
JEL codes: C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 09 Jul 2014 17:28
Last Modified: 20 Mar 2018 14:10
OAI ID: oai:tse-fr.eu:26112
URI: http://publications.ut-capitole.fr/id/eprint/15368

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