Some methodological comments on 'Sources of fluctuations in exchange rates: a structural VAR analysis' by N. Apergis and C. Karfakis

Haluk Erlat and Guzin Erlat

Applied Economics Letters, 1998, vol. 5, issue 4, 269-270

Abstract: In this comment we note that the methodology used by Apergis and Karfakis (1996) (a) leads to restricting the contemporaneous impact matrix not the long-run impact matrix in identifying their SVAR model, contrary to to their stated objective, and (b) that the Bernanke-Sims procedure of identification and the conventional Cholesky-decomposition based analysis of a VAR lead exactly to the same results as long as the impact matrix is restricted to be lower triangle.

Date: 1998
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DOI: 10.1080/135048598354960

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