Identification of Technology Shocks in Structural VARs

Patrick Fève and Alain Guay

Cahiers de recherche from CIRPEE

Abstract: The usefulness of SVARs for developing empirically plausible models is actually subject to many controversies in quantitative macroeconomics. In this paper, we propose a simple alternative two step SVARs based procedure which consistently identifies and estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle 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 delayed and hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after a positive technology shock.

Keywords: SVARs; long-run restriction; technology shocks; consumption to output ratio; hours worked (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-bec, nep-cba, nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Identification of Technology Shocks in Structural Vars (2010)
Working Paper: Identification of Technology Shocks in Structural VARs (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:lvl:lacicr:0736

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