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Graphical causal models and VARs: an empirical assessment of the real business cycles hypothesis

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Author Info
Alessio Moneta ()

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File URL: http://hdl.handle.net/10.1007/s00181-007-0159-9
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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 35 (2008)
Issue (Month): 2 (September)
Pages: 275-300
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Handle: RePEc:spr:empeco:v:35:y:2008:i:2:p:275-300

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Related research
Keywords: Structural VARs; Directed acyclic graphs; Business cycles; Causality; Impulse response functions; C32; C49; E32;

References listed on IDEAS
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  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  2. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
    Other versions:
  3. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall. [Downloadable!] (restricted)
  4. Hoover, Kevin & Demiralp, Selva, 2003. "Searching for the Causal Structure of a Vector Autoregression," Working Papers 03-3, University of California at Davis, Department of Economics. [Downloadable!]
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  5. Jon Faust & Eric M. Leeper, 1994. "When do long-run identifying restrictions give reliable results?," International Finance Discussion Papers 462, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  6. Alessio Moneta, 2004. "Identification of Monetary Policy Shocks: A graphical causal approach," Notas Económicas, Faculdade de Economia, Universidade de Coimbra, issue 20, pages 39-62, December. [Downloadable!]
  7. Steffen L. Lauritzen & Thomas S. Richardson, 2002. "Chain graph models and their causal interpretations," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 321-348. [Downloadable!] (restricted)
  8. Alessio Moneta, 2003. "Graphical Models for Structural Vector Autoregressions," LEM Papers Series 2003/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  9. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January. [Downloadable!] (restricted)
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  10. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April. [Downloadable!] (restricted)
  11. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1098, October. [Downloadable!]
    Other versions:
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