Mind the Gap! Stylized Dynamic Facts and Structural Models

• 成果类型: Article
• 署名作者: Canova, Fabio; Ferroni, Filippo
• 署名单位: BI Norwegian Business School; BI Norwegian Business School; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20200054
• 发表日期: 2022
• 页码: 104-135
• 关键词: vector autoregressions; monetary-policy; business-cycle; DSGE; identification; shocks

摘要

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 < q variables are used in an empirical model. Identified shocks are lin-ear combinations of current and past values of all structural dis-turbances and do not necessarily combine disturbances of the same type. Theory-based restrictions may be insufficient to obtain struc-tural dynamics. We revisit the evidence regarding the transmission of house price and of uncertainty shocks. We provide suggestions on how to compare the dynamics of larger scale DSGEs models with smaller scale VARs. (JEL E12, E13, E23, E31, E43, R31)