Working Paper: CEPR ID: DP17726
Authors: Paul Beaudry; Fabrice Collard; Patrick Feve; Alain Guay; Franck Portier
Abstract: Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In this paper we begin by showing that this dual dynamic structure is sufficient to identify the entire set of structural impulse responses inherent to any such model. No extra restrictions are necessary. We then use this observation to suggest how it can be used to evaluate common SVAR restrictions (impact restrictions, long-run restrictions and proxy-VAR), as well as help transpire the role of cross-equation restrictions inherent to more structural models.
Keywords: Structural shocks; Dynamic identification; SVARs; DSGE models
JEL Codes: C32; E32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| common restrictions in SVAR literature (C32) | over-identifying restrictions (C50) |
| identification restrictions (J15) | structural interpretations (B52) |
| impulse responses (C22) | evaluation of impact and long-run restrictions (F69) |
| dual dynamic structure of macroeconomic models (E10) | identification of structural impulse responses (C22) |
| exogenous driving forces (F29) | relationships with endogenous variables (C51) |