Comparing two methods for the identification of news shocks

Paul Beaudry, Franck Portier () and Atılım Seymen

No 13-110, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

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.

Keywords: News Shocks; Structural VAR; Identification (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:13110

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