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Structural correlation decompositions for business cycle analysis

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  • Andrle, Michal

Abstract

This note demonstrates a decomposition of correlations into contributions of structural shocks. The method is useful for analysis of complex models that can be expressed as linear state-space models, e.g., DSGE, SVAR or dynamic factor models.

Suggested Citation

  • Andrle, Michal, 2012. "Structural correlation decompositions for business cycle analysis," Economics Letters, Elsevier, vol. 115(3), pages 390-391.
    • Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:390-391
    DOI: 10.1016/j.econlet.2011.12.094
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    References listed on IDEAS

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    1. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
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    Cited by:

    1. Morell, Joseph, 2018. "The decline in the predictive power of the US term spread: A structural interpretation," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 314-331.

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    More about this item

    Keywords

    Correlation decomposition; State space; DSGE;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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