A Back-of-the-Envelope Rule to Identify Atheoretical VARs
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Urzúa, Carlos M., 2006. "A Back-of-the-Envelope Rule to Identify Atheoretical VARs," EGAP Computer Code 2007-01, Tecnológico de Monterrey, Campus Ciudad de México.
- Urzúa, Carlos M., 2007. "A Back-of-the-Envelope Rule to Identify Atheoretical VARs," EGAP Working Papers 2007-03, Tecnológico de Monterrey, Campus Ciudad de México.
References listed on IDEAS
- Blanchard, Olivier Jean & Quah, Danny, 1989.
"The Dynamic Effects of Aggregate Demand and Supply Disturbances,"
American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996.
"The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1994. "The effects of monetary policy shocks: evidence from the flow of funds," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1994. "The effects of monetary policy shocks: evidence from the Flow of Funds," Working Paper Series, Macroeconomic Issues 94-2, Federal Reserve Bank of Chicago.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999.
"Monetary policy shocks: What have we learned and to what end?,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148,
Elsevier.
- Lawrence J. Christiano & Martin S. Eichenbaum & Charles L. Evans, 1997. "Monetary policy shocks: what have we learned and to what end?," Working Paper Series, Macroeconomic Issues WP-97-18, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- Marco Lippi & Lucrezia Reichlin, 1994.
"Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(1), pages 19-30.
- Lippi, Marco & Reichlin, Lucrezia, 1993. "Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle," CEPR Discussion Papers 775, C.E.P.R. Discussion Papers.
- Marco Lippi & Lucrezia Reichlin, 1994. "Diffusion of technical change and the decomposition of output into trend and cycle," ULB Institutional Repository 2013/10157, ULB -- Universite Libre de Bruxelles.
- Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
- Sims, Christopher A., 1992.
"Interpreting the macroeconomic time series facts : The effects of monetary policy,"
European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
- Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
- James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
- Henry Kaiser, 1958. "The varimax criterion for analytic rotation in factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 23(3), pages 187-200, September.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- McCallum, Bennett T., 1983. "A reconsideration of Sims' evidence concerning monetarism," Economics Letters, Elsevier, vol. 13(2-3), pages 167-171.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Mustafa Caglayan & Kostas Mouratidis & Elham Saeidinezhad, 2011. "Monetary policy effects on output and exchange rates: Results from US, UK and Japan," Working Papers 2011016, The University of Sheffield, Department of Economics.
- Piyachart Phiromswad, 2014. "Measuring monetary policy with empirically grounded identifying restrictions," Empirical Economics, Springer, vol. 46(2), pages 681-699, March.
- Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marek Rusnak & Tomas Havranek & Roman Horvath, 2013.
"How to Solve the Price Puzzle? A Meta‐Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 37-70, February.
- Marek Rusnak & Tomas Havranek & Roman Horvath, 2013. "How to Solve the Price Puzzle? A Meta-Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 37-70, February.
- Marek Rusnák & Tomáš Havránek & Roman Horváth, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers IES 2011/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2011.
- Marek Rusnak & Tomas Havranek & Roman Horvath, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," CERGE-EI Working Papers wp446, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Marek Rusnak & Tomas Havranek & Roman Horvath, 2011. "How to Solve the Price Puzzle? A Meta-Analysis," Working Papers 2011/02, Czech National Bank.
- Ramey, V.A., 2016.
"Macroeconomic Shocks and Their Propagation,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162,
Elsevier.
- Ramey, VA, 2016. "Macroeconomic Shocks and Their Propagation," University of California at San Diego, Economics Working Paper Series qt5mb353t2, Department of Economics, UC San Diego.
- Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
- Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017.
"Statistical inference for independent component analysis: Application to structural VAR models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 111-126.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2016-20, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2017-09, Center for Research in Economics and Statistics.
- Marco Capasso & Alessio Moneta, 2016. "Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure," LEM Papers Series 2016/36, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- Rafiq, M.S. & Mallick, S.K., 2008. "The effect of monetary policy on output in EMU3: A sign restriction approach," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1756-1791, December.
- Soyoung Kim, 2013. "Vector autoregressive models for macroeconomic policy analysis," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 23, pages 555-572, Edward Elgar Publishing.
- Dawid J. van Lill, 2017. "Changes in the Liquidity Effect Over Time: Evidence from Four Monetary Policy Regimes," Working Papers 704, Economic Research Southern Africa.
- Faust, Jon, 1998.
"The robustness of identified VAR conclusions about money,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 207-244, December.
- Tom Doan, "undated". "RATS program to replicate Faust 1998 paper on semi-structural VAR," Statistical Software Components RTZ00178, Boston College Department of Economics.
- Vargas-Silva, Carlos, 2008.
"Monetary policy and the US housing market: A VAR analysis imposing sign restrictions,"
Journal of Macroeconomics, Elsevier, vol. 30(3), pages 977-990, September.
- Carlos Vargas-Silva, 2007. "Monetary policy and the U.S. housing market: A VAR analysis imposing sign restrictions," Working Papers 0705, Sam Houston State University, Department of Economics and International Business.
- Debes, Sebastian & Gareis, Johannes & Mayer, Eric & Rüth, Sebastian, 2014. "Towards a consumer sentiment channel of monetary policy," W.E.P. - Würzburg Economic Papers 91, University of Würzburg, Department of Economics.
- Cochrane, John H., 1994.
"Shocks,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
- John H. Cochrane, 1994. "Shocks," NBER Working Papers 4698, National Bureau of Economic Research, Inc.
- Ribba, Antonio, 2007.
"Permanent disinflationary effects on unemployment in a small open economy: Italy 1979-1995,"
Economic Modelling, Elsevier, vol. 24(1), pages 66-81, January.
- Antonio Ribba, 2006. "Permanent Disinflationary Effects on Unemployment in a Small Open Economy: Italy 1979-1995," EcoMod2006 272100073, EcoMod.
- Charles L. Evans & David A. Marshall, 2009.
"Fundamental Economic Shocks and the Macroeconomy,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1515-1555, December.
- Charles L. Evans & David A. Marshall, 2009. "Fundamental Economic Shocks and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1515-1555, December.
- Charles L. Evans & David A. Marshall, 2005. "Fundamental Economic Shocks and The Macroeconomy," Working Papers Central Bank of Chile 351, Central Bank of Chile.
- Evans, Charles L. & Marshall, David A., 1998.
"Monetary policy and the term structure of nominal interest rates: Evidence and theory,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 53-111, December.
- Charles L. Evans & David A. Marshall, 1997. "Monetary policy and the term structure of nominal interest rates: evidence and theory," Working Paper Series, Macroeconomic Issues WP-97-10, Federal Reserve Bank of Chicago.
- Gert Peersman, 2005.
"What caused the early millennium slowdown? Evidence based on vector autoregressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 185-207.
- Gert Peersman, 2005. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 185-207.
- Peersman, Gert, 2003. "What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions," CEPR Discussion Papers 4087, C.E.P.R. Discussion Papers.
- G. Peersman, 2004. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/235, Ghent University, Faculty of Economics and Business Administration.
- Gert Peersman, 2005. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Bank of England working papers 272, Bank of England.
- Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010.
"The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States,"
Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
- Yun Daisy Li & Talan B. Işcan & Kuan Xu, 2007. "The Impact of Monetary Policy Shocks on Stock Prices: Evidence from Canada and the United States," Working Papers daleconwp2007-07, Dalhousie University, Department of Economics.
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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sbe:breart:v:28:y:2008:i:2:a:1514. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/sbeeeea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.