Document de travail

Dynamic Identification in VARs

Patrick Fève, Paul Beaudry, Fabrice Collard, Alain Guay et Franck Portier

Résumé

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.

Mots-clés

Structural Shocks; Dynamic Identification; SVARs; DSGE models;

Codes JEL

  • C32: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
  • E32: Business Fluctuations • Cycles

Référence

Patrick Fève, Paul Beaudry, Fabrice Collard, Alain Guay et Franck Portier, « Dynamic Identification in VARs », TSE Working Paper, n° 22-1384, novembre 2022.

Voir aussi

Publié dans

TSE Working Paper, n° 22-1384, novembre 2022