Economic and VAR shocks:: What can go wrong?
成果类型：
Article; Proceedings Paper
署名作者：
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F.
署名单位：
University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/jeea.2006.4.2-3.466
发表日期：
2006
页码：
466-474
关键词：
摘要：
This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility based on the model fundamentals and we find the identification scheme that recovers the economic shocks from the VAR innovations when the model is invertible. We illustrate our results with a model of the Great Depression proposed by Christiano, Motto, and Rostagno (2003).
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