Structural correlation decompositions for business cycle analysis
This note demonstrates a decomposition of correlations into contributions of structural shocks. The method is useful for analysis of complex models that can be expressed as linear state-space models, e.g., DSGE, SVAR or dynamic factor models.
References listed on IDEAS
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- Frank Smets & Raf Wouters, 2007.
"Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach,"
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109, National Bank of Belgium.
- Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
- Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 0722, European Central Bank.
- Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
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