A Comparative Study on the Role of Stochastic Trends in U.S. Macroeconomic Fluctuations, 1954-1988

Atılım Seymen

No 08-007, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: The paper attempts to provide an appropriate model specification for identifying technology and other macroeconomic shocks in a structural VAR framework. The investigation is conducted based on two seminal structural VAR studies by Gali (1999) and King et al. (1991). The models of these studies are compared and contrasted, and then modified based on the findings. The analysis builds on two studies of Alexius and Carlsson (2001, 2005) that examine the ability of structural VAR models to identify technology shocks. The original and augmented models are used for investigating the driving forces behind business cycle fluctuations.

Keywords: Structural Vector Autoregression; Long-Run Restrictions; Error Variance Decomposition (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:7018

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