Vector Autoregressions

More documents

Recommendations

Info

Long Run Identification of TechnologyShocks (Blanchard-Quah, h Fisher, JPE 2007)• There are two types of technology shocks: neutraland capital embodiedX t Z t FK t , L t K t1 1 − K t V t I t• These are only shocks that can affect the log levelof labor productivity.• The only shock which also has a long run effect onthe relative price of capital is a capital embodiedtechnology shock (V t ).• These identification strategies require that thevariables in the VAR be covariance stationary.ti
Technology Shocks…• Advantage of this approach:– Don’t need to make all the usual assumptions required to constructSolow-residual based measures of technology shocks.• Functional form assumptions for production function, corrections forlabor hoarding, capital utilization, and time-varying markups.• Disadvantage: some models don’t satisfy our identifyingassumption.– endogenous growth models where all shocks affectproductivity in the long run.– Standard models when there are permanent shocksStandard models when there are permanent shocksto the tax rate on capital income.
Page 1 and 2: Brief Review of VARsLawrence J. Chr
Page 3: Outline of SVAR discussion• What
Page 15 and 16: Identifying Monetary Policy Shocks
Page 17 and 18: What is a Monetary Policy Shock?•
Page 24 and 25: Identification• When monetary pol
Page 27: • We will now estimate impulse re
Page 36: Timing Assumptions• ‘Extreme’
Page 39: Result of Allowing Output toRespond
Page 43 and 44: Historical Decomposition of Data•
Page 45 and 46: Type of technology shock that affec
Page 47 and 48: All three shocks together account f
Page 51 and 52: Fiscal Shocks• SVAR analysis of d
Page 53: Burnside, Eichenbaum and Fisher•
Page 56 and 57: Fiscal Theory• Equation depicting
Page 58: Conclusions of VAR discussion• We

Vector Autoregressions

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?