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Comparing two methods for the identification of news shocks

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  • Beaudry, Paul
  • Portier, Franck
  • Seymen, Atılım

Abstract

Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology-news-shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the extent to thich two prominent structural VAR approaches can be usefull in recuperating news shock dynamics from artificially generated data in general and (ii) why and to what extent these SVAR approaches differ in the results the deliver in particular. Thereby, we provide several insights for the users of both VAR techniques with small samples in practice.

Suggested Citation

  • Beaudry, Paul & Portier, Franck & Seymen, Atılım, 2013. "Comparing two methods for the identification of news shocks," ZEW Discussion Papers 13-110, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:13110
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    References listed on IDEAS

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    6. Chari, V.V. & Kehoe, Patrick J. & McGrattan, Ellen R., 2008. "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1337-1352, November.
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    Cited by:

    1. Paul Beaudry & Patrick Fève & Alain Guay & Franck Portier, 2015. "When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks," NBER Working Papers 21466, National Bureau of Economic Research, Inc.

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    More about this item

    Keywords

    News Shocks; Structural VAR; Identification;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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