TECHNOLOGY SHOCKS AND ROBUST SIGN RESTRICTIONS IN A EURO AREA SVAR

• 成果类型: Article
• 署名作者: Peersman, Gert; Straub, Roland
• 署名单位: European Central Bank; Ghent University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2009.00546.x
• 发表日期: 2009
• 页码: 727-750
• 关键词: business-cycle; improvements; fluctuations; models

摘要

We use a model-based identification strategy to estimate the impact of technology shocks on hours worked and employment in the euro area. The sign restrictions applied in the vector autoregression (VAR) analysis are consistent with a large class of dynamic stochastic general equilibrium (DSGE) models and are robust to parameter uncertainty. The results are in line with the conventional Real Business Cycle (RBC) interpretation that hours worked rise as a result of a positive technology shock. By comparing the sign restrictions method to the long-run restriction approach of Gali (Quaterly Journal of Economics (1992) 709-38), we show that the results do not depend on the stochastic specification of the hours worked series or the data sample but only on the identification scheme.