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Identification of Technology Shocks in Structural Vars

Author

Listed:
  • Patrick Fève
  • Alain Guay

Abstract

The usefulness of SVARs for developing empirically plausible models is actually subject to controversies in macroeconomics. We propose a two-step SVARs-based procedure which consistently estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle model and a sticky prices model show that our approach outperforms standard SVARs. The two-step procedure, when applied to actual data, predicts a significant short-run decrease of hours after a technology improvement followed by a hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after this shock. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009.

Suggested Citation

  • Patrick Fève & Alain Guay, 2010. "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.
    • Handle: RePEc:ecj:econjl:v:120:y:2010:i:549:p:1284-1318
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    Cited by:

    1. Cardi, Olivier & Restout, Romain, 2025. "Why hours worked decline less after technology shocks?," Journal of International Economics, Elsevier, vol. 157(C).
    2. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    3. Adebayo Augustine Kutu & Harold Ngalawa, 2016. "Monetary Policy Shocks And Industrial Output In Brics Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(3), pages 3-24, July-Sept.
    4. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
    5. Pentecôte, Jean-Sébastien & Poutineau, Jean-Christophe & Razafindrabe, Tovonony & Rondeau, Fabien, 2025. "Bilateral output synchronization in a globalized world: A macroeconomic evaluation of the third-country effect," Journal of Macroeconomics, Elsevier, vol. 84(C).
    6. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    7. Feng Wang & Ruiqi Wang, 2021. "The Mechanism of Driving Green Growth and Decreasing Energy Security Risks by Innovation in China," Sustainability, MDPI, vol. 13(9), pages 1-34, April.
    8. Cantore, Cristiano & Ferroni, Filippo & León-Ledesma, Miguel A., 2017. "The dynamics of hours worked and technology," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 67-82.
    9. Sirine Mnif & Chiraz Feki & Ines Abdelkafi, 2018. "Effects of Technological Shock on Employment: Application of Structural Approach VECM," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 9(4), pages 1138-1153, December.
    10. Rujin, Svetlana, 2024. "Labor market institutions and technology-induced labor adjustment along the extensive and intensive margins," Journal of Macroeconomics, Elsevier, vol. 79(C).
    11. Fabrice Collard & Patrick Fève, 2012. "Sur les causes et les effets en macro économie : les Contributions de Sargent et Sims, Prix Nobel d'Economie 2011," Revue d'économie politique, Dalloz, vol. 122(3), pages 335-364.
    12. Rujin, Svetlana, 2019. "What are the effects of technology shocks on international labor markets?," Ruhr Economic Papers 806, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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