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Fève, Patrick
, Matheron, Julien and Sahuc, Jean-Guillaume
(2009)
On the Dynamic Implications of New Shocks.
Economics Letters, 102 (2).
pp. 96-98.
Official URL : http://tse-fr.eu/pub/10870
Identification Number : 10.1016/j.econlet.2008.11.023
Abstract
This paper assesses the time series properties of rational expectations models with news shocks. We show that news shocks allows to substantially improve the dynamic behavior of such models in generating higher persistence. We also warn the use of SVAR models to uncover news shocks.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | February 2009 |
| Refereed: | Yes |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 18 Jan 2012 05:55 |
| Last Modified: | 02 Apr 2021 15:35 |
| OAI Identifier: | oai:tse-fr.eu:10870 |
| URI: | https://publications.ut-capitole.fr/id/eprint/2513 |
