Identification of Technology Shocks in Structural Vars

• 成果类型: Article
• 署名作者: Feve, Patrick; Guay, Alain
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite de Toulouse; University of Quebec; University of Quebec Montreal
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2009.02328.x
• 发表日期: 2010
• 页码: 1284-1318
• 关键词: business-cycle; restrictions; TRENDS

摘要

The usefulness of SVARs for developing empirically plausible models is actually subject to controversies in macroeconomics. We propose a two-step SVARs-based procedure which consistently estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle model and a sticky prices model show that our approach outperforms standard SVARs. The two-step procedure, when applied to actual data, predicts a significant short-run decrease of hours after a technology improvement followed by a hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after this shock.