Resource title

An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models

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Resource description

This paper aims to provide a non-technical introduction into the SVAR methodology. Particular emphasize is put on the approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown that SVAR models are useful tools to analyze the dynamics of a model by subjecting it to an unexpected shock, whereas simultaneous equation models are better suited for policy simulations. A draw back of the SVAR methodology is that due to the low dimension of typical SVAR models the assumption that the underlying shocks are orthogonal is likely to be fairly restrictive.

Resource author

Jan Gottschalk

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/17887

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Adapt according to the presented license agreement and reference the original author.