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Neuere Entwicklungen auf dem Gebiet ökonometrischer Strukturmodelle: Strukturelle Vektorautoregressionen

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  • Breitung, Jörg

Abstract

In diesem Beitrag wird der vergleichsweise neue Ansatz der 'Strukturellen Vektorautoregression' (SVAR) vorgestellt und anhand einfacher Beispiele illustriert. Auf der Basis der Theorie rationaler Erwartungen wird unterschieden, inwieweit der Einsatz wirtschaftspolitischer Instrumente von den Wirtschaftssubjekten vorhergesehen wurde oder überraschend erfolgt. Nicht erwartete wirtschaftspolitische Ereignisse werden dabei als 'Schocks' bezeichnet. SVAR-Modelle ermöglichen eine Analyse der Wirkung derartiger Schocks auf die interessierenden ökonomischen Variablen. Da die Schocks nicht direkt beobachtbar sind, müssen Annahmen zur Identifikation getroffen werden. Die unterschiedlichen Möglichkeiten, strukturelle Schocks zu identifizieren, werden anhand einfacher Beispiele dargestellt und miteinander verglichen. Zur Illustration des SVAR-Modellansatzes wird ein einfaches ISLM-Modell mit Hilfe amerikanischer Daten geschätzt und interpretiert.

Suggested Citation

  • Breitung, Jörg, 1998. "Neuere Entwicklungen auf dem Gebiet ökonometrischer Strukturmodelle: Strukturelle Vektorautoregressionen," SFB 373 Discussion Papers 1998,80, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199880
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    1. Gottschalk, Jan, 2001. "An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models," Kiel Working Papers 1072, Kiel Institute for the World Economy (IfW Kiel).
    2. Frondel, Manuel & Schmidt, Torsten & Vance, Colin & Zimmermann, Tobias & Belke, Ansgar, 2008. "Einfluss von Preisschocks auf die Preisentwicklung in Deutschland: Forschungsvorhaben des Bundesministeriums für Wirtschaft und Technologie. Projekt-Nr. I D 4-020815-16/07. Endbericht - Oktober 2008," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 70890.

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