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

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  • Alessio Moneta

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  • Alessio Moneta, 2008. "Graphical causal models and VARs: an empirical assessment of the real business cycles hypothesis," Empirical Economics, Springer, vol. 35(2), pages 275-300, September.
  • Handle: RePEc:spr:empeco:v:35:y:2008:i:2:p:275-300
    DOI: 10.1007/s00181-007-0159-9
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    References listed on IDEAS

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    1. 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.
    2. Hoover,Kevin D., 2001. "Causality in Macroeconomics," Cambridge Books, Cambridge University Press, number 9780521002882.
    3. 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.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    5. Alessio Moneta, 2004. "Identification of Monetary Policy Shocks: A graphical causal approach," Notas Económicas, Faculty of Economics, University of Coimbra, issue 20, pages 39-62, December.
    6. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    7. 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.
    8. Faust, Jon & Leeper, Eric M, 1997. "When Do Long-Run Identifying Restrictions Give Reliable Results?," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 345-353, July.
    9. King, Robert G. & Plosser, Charles I. & Stock, James H. & Watson, Mark W., 1991. "Stochastic Trends and Economic Fluctuations," American Economic Review, American Economic Association, vol. 81(4), pages 819-840, September.
    10. 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.
    11. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
    12. Selva Demiralp & Kevin D. Hoover, 2003. "Searching for the Causal Structure of a Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 745-767, December.
    13. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
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    Cited by:

    1. repec:eee:dyncon:v:82:y:2017:i:c:p:125-141 is not listed on IDEAS
    2. Andrew Rettenmaier & Zijun Wang, 2013. "What determines health: a causal analysis using county level data," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 14(5), pages 821-834, October.
    3. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Bayesian Graphical Models for STructural Vector Autoregressive Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 357-386, March.
    4. Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2017. "The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach," Documents de Travail de l'OFCE 2017-02, Observatoire Francais des Conjonctures Economiques (OFCE).
    5. Wang, Zijun, 2012. "The causal structure of bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 93-102.
    6. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
    7. Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
    8. Tommaso Ferraresi & Andrea Roventini & Giorgio Fagiolo, 2015. "Fiscal Policies and Credit Regimes: A TVAR Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1047-1072, November.
    9. Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
    10. Henry L. Bryant & David A. Bessler & Michael S. Haigh, 2009. "Disproving Causal Relationships Using Observational Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 357-374, June.
    11. Alessio Moneta & Doris Entner & Patrik O. Hoyer & Alex Coad, 2013. "Causal Inference by Independent Component Analysis: Theory and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 705-730, October.
    12. Wongboonsin, Kua & Phiromswad, Piyachart, 2017. "Searching for empirical linkages between demographic structure and economic growth," Economic Modelling, Elsevier, vol. 60(C), pages 364-379.
    13. Piyachart Phiromswad, 2014. "Measuring monetary policy with empirically grounded identifying restrictions," Empirical Economics, Springer, vol. 46(2), pages 681-699, March.
    14. Gao, Wei & Zhao, Hongxia, 2013. "Conditional independence graph for nonlinear time series and its application to international financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(10), pages 2460-2469.
    15. 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.
    16. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".

    More about this item

    Keywords

    Structural VARs; Directed acyclic graphs; Business cycles; Causality; Impulse response functions; C32; C49; E32;

    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
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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