A comparative study on the role of stochastic trends in U.S. macroeconomic fluctuations, 1954-1988


Seymen, Atilim


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URL: https://ub-madoc.bib.uni-mannheim.de/1891
URN: urn:nbn:de:bsz:180-madoc-18913
Document Type: Working paper
Year of publication: 2008
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C52 C51 C32 ,
Subject headings (SWD): Makroökonomie , Fluktuation <Betriebswirtschaftslehre> , Vektor-autoregressives Modell
Keywords (English): Structural Vector Autoregression , Long-Run Restrictions , Error Variance Decomposition
Abstract: The paper attempts to provide an appropriate model specification for identifying technology and other macroeconomic shocks in a structural VAR framework. The investigation is conducted based on two seminal structural VAR studies by Gali (1999) and King et al. (1991). The models of these studies are compared and contrasted, and then modified based on the findings. The analysis builds on two studies of Alexius and Carlsson (2001, 2005) that examine the ability of structural VAR models to identify technology shocks. The original and augmented models are used for investigating the driving forces behind business cycle fluctuations.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Seymen, Atilim (2008) A comparative study on the role of stochastic trends in U.S. macroeconomic fluctuations, 1954-1988. Open Access [Working paper]
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