Resource title

Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany

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Resource description

Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the ?true? shocks. To investigate this issue, we evaluate for German data the consistency of results from different bivariate SVAR models employing the same long-run identifying restrictions. We find that these models do not offer reliable evidence on the sources of output fluctuations.

Resource author

Willem van Zandweghe, Jan Gottschalk

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/17890

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