When is Nonfundamentalness in SVARs A Real Problem?

Beaudry, Paul, Fève, Patrick, Guay, Alain and Portier, Franck (2016) When is Nonfundamentalness in SVARs A Real Problem? TSE Working Paper, n. 16-738

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Official URL: http://tse-fr.eu/pub/31229

Abstract

Identification of structural shocks can be subject to nonfundamentalness, as the econometrician may have an information set smaller than the economic agents´i one. How serious is that problem from a quantitative point of view? In this work we propose a simple diagnosis statistics for the quantitative importance of nonfundamentalness in structural VARs. The diagnosis is of interest as nonfundamentalness is not an either/or question, but is a quantitative issue which can be more or less severe. Using our preferred strategy for identifying news shocks, we find that nonfundamentalness is quantitatively unimportant and that news shocks continue to generate significant business cycle type fluctuations when adjust the estimating procedure to take into account the potential nonfundamentalness issue.

Item Type: Monograph (Working Paper)
Language: English
Date: November 2016
Uncontrolled Keywords: Non-Fundamentalness, Business Cycles, SVARs, News
JEL codes: C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse Capitole
Site: UT1
Date Deposited: 29 Nov 2016 10:10
Last Modified: 07 Mar 2018 13:24
OAI ID: oai:tse-fr.eu:31229
URI: http://publications.ut-capitole.fr/id/eprint/22536

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