Dynamic Effects of Persistent Shocks

Mario Alloza, Jesus Gonzalo and Carlos Sanz

Papers from arXiv.org

Abstract: We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re-establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well-known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.

Date: 2020-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://arxiv.org/pdf/2006.14047 Latest version (application/pdf)

Related works:
Working Paper: Dynamic effects of persistent shocks (2025)
Working Paper: Dynamic effects of persistent shocks (2019)
Working Paper: Dynamic Effects of Persistent Shocks (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2006.14047

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().