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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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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 Classification: | 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: | 02 Apr 2021 15:47 |
| OAI Identifier: | oai:tse-fr.eu:26112 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15368 |
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