Fève, Patrick, Beaudry, Paul, Collard, Fabrice, Guay, Alain and Portier, Franck (2022) Dynamic identification in VARs. TSE Working Paper, n. 22-1384, Toulouse

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Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In this paper we begin by showing that this dual dynamic structure is sufficient to identify the entire set of structural impulse responses inherent to any such model. No extra restrictions are necessary. We then use this observation to suggest how it can be used to evaluate common SVAR restrictions (impact restrictions, long-run restrictions and proxy-VAR), as well as help transpire the role of cross-equation restrictions inherent to more structural models.

Item Type: Monograph (Working Paper)
Language: English
Date: November 2022
Place of Publication: Toulouse
Uncontrolled Keywords: Structural Shocks, Dynamic Identification, SVARs, DSGE models
JEL Classification: C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 21 Nov 2022 12:27
Last Modified: 19 Jan 2023 11:26
OAI Identifier: oai:tse-fr.eu:127516
URI: https://publications.ut-capitole.fr/id/eprint/46441
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