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Identification of Technology Shocks in Structural VARs

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  • Fève, Patrick
  • Guay, Alain

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.
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Suggested Citation

  • Fève, Patrick & Guay, Alain, 2009. "Identification of Technology Shocks in Structural VARs," TSE Working Papers 09-028, Toulouse School of Economics (TSE).
  • Handle: RePEc:tse:wpaper:22266
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:dyncon:v:82:y:2017:i:c:p:67-82 is not listed on IDEAS
    2. 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.
    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. 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.

    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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