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Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany

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Author Info
Jan Gottschalk
Willem Van Zandweghe

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Abstract

Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the ‘true’ shocks. To investigate this issue, we evaluate for German data the consistency of results from different bivariate SVAR models employing the same long-run identifying restrictions. We find that these models do not offer reliable evidence on the sources of output fluctuations.

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Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1068.

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Length: 52 pages
Date of creation: Aug 2001
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Handle: RePEc:kie:kieliw:1068

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Related research
Keywords: Business Cycle Fluctuations; Structural Vector Autoregression Models; Long-run Restrictions;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hsiao Chink Tang, 2006. "An Asian Monetary Union?," CAMA Working Papers 2006-13, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  2. Burger, Kees & Smit, Hidde & Vogelvang, Ben, 2002. "Exchange Rates and Natural Rubber Prices, the Effect of the Asian Crisis," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24958, European Association of Agricultural Economists. [Downloadable!]
  3. Jan Gottschalk, 2002. "Keynesian and Monetarist Views on the German Unemployment Problem — Theory and Evidence," Kiel Working Papers 1096, Kiel Institute for the World Economy. [Downloadable!]
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