Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany

Willem Van Zandweghe and Jan Gottschalk

No 1068, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the ?true? shocks. To investigate this issue, we evaluate for German data the consistency of results from different bivariate SVAR models employing the same long-run identifying restrictions. We find that these models do not offer reliable evidence on the sources of output fluctuations.

Keywords: Business Cycle Fluctuations; Structural Vector Autoregression Models; Long-run Restrictions (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1068

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