Structural VARs and VECMs

2005 ◽  
pp. 357-386
Keyword(s):  
Structural Vars

Structural VARs and noninvertible macroeconomic models

2018 ◽  
Vol 34 (2) ◽  
pp. 221-246 ◽  
Author(s):  
Mario Forni ◽  
Luca Gambetti ◽  
Luca Sala
Keyword(s):  
Macroeconomic Models ◽  
Structural Vars

scholarly journals Vector Autoregressions

2001 ◽  
Vol 15 (4) ◽  
pp. 101-115 ◽  
Author(s):  
James H Stock ◽  
Mark W Watson
Keyword(s):  
Interest Rate ◽  
Policy Analysis ◽  
Reduced Form ◽  
Vector Autoregressions ◽  
Short Term ◽  
Price Inflation ◽  
Structural Inference ◽  
Data Description ◽  
Var Analysis ◽  
Structural Vars

This paper critically reviews the use of vector autoregressions (VARs) for four tasks: data description, forecasting, structural inference, and policy analysis. The paper begins with a review of VAR analysis, highlighting the differences between reduced-form VARs, recursive VARs and structural VARs. A three variable VAR that includes the unemployment rate, price inflation and the short term interest rate is used to show how VAR methods are used for the four tasks. The paper concludes that VARs have proven to be powerful and reliable tools for data description and forecasting, but have been less useful for structural inference and policy analysis.

scholarly journals Avoiding pitfalls in using structural VARs to estimate economic models

2007 ◽  
Vol 10 (2) ◽  
pp. 238-255 ◽  
Author(s):  
Martial Dupaigne ◽  
Patrick Fève ◽  
Julien Matheron
Keyword(s):  
Economic Models ◽  
Structural Vars

THE PRICE PUZZLE AND VAR IDENTIFICATION

2014 ◽  
Vol 19 (8) ◽  
pp. 1880-1887 ◽  
Author(s):  
Arturo Estrella
Keyword(s):  
Monetary Policy ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Reduced Form ◽  
Impulse Responses ◽  
Minimal Set ◽  
Price Puzzle ◽  
Single Term ◽  
Structural Vars

In structural VARs, unexpected monetary tightening often leads to the price puzzle, a counterintuitive increase in inflation in the impulse response function. The identification of impulse responses requires at least a minimal set of structural assumptions, and models exhibiting the price puzzle typically use standard assumptions focusing mainly on relationships among contemporaneous disturbances. This note uses a well-established stylized fact, the long lags of monetary policy, to motivate a simple additional identifying assumption. The assumption eliminates a single term in one equation of the reduced form, and with it the price puzzle.

scholarly journals Identification of Technology Shocks in Structural Vars

2010 ◽  
Vol 120 (549) ◽  
pp. 1284-1318 ◽  
Author(s):  
Patrick Fève ◽  
Alain Guay
Keyword(s):  
Technology Shocks ◽  
Structural Vars
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