DOES INFORMATION HELP RECOVERING STRUCTURAL SHOCKS FROM PAST OBSERVATIONS? | Zendy

Gian Domenico | Zendy; Reichlin Lucrezia | Zendy

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DOES INFORMATION HELP RECOVERING STRUCTURAL SHOCKS FROM PAST OBSERVATIONS?

Author(s) -

Gian Domenico,

Reichlin Lucrezia

Publication year - 2006

Publication title -

journal of the european economic association

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 7.792

H-Index - 93

eISSN - 1542-4774

pISSN - 1542-4766

DOI - 10.1162/jeea.2006.4.2-3.455

Subject(s) - structural vector autoregression , vector autoregression , economics , econometrics , autoregressive model , macroeconomics , monetary policy

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural vector autoregression are truly structural? Second, can the problem of non‐fundamentalness be solved by considering additional information? The answer to the first question is “yes” and that to the second is “under some conditions.” (JEL: C32, C33, E00, E32, O3)

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