Vector Autoregressions

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Dark line: detrended actualGDPThin line: what GDP would have been if there had onlybeen one type of technology shock, the type thataffects only the capital goods industryThese shocks have some effect, but not terribly importantt
Type of technology shock that affectsall industriesThis has very large impact on broad trends in thedata, and a smaller impact on business cycles.Has big impact on trend in data, and 2000 boom-bust
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 22 and 23: Long Run Identification of Technolo
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: Historical Decomposition of Data•
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

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