Economic and VAR Shocks: What Can Go Wrong?

dc.contributor.author	Rubio-Ramirez, J.F.	en_US
dc.contributor.author	Fernandez-Villaverde, Jesus	en_US
dc.date.accessioned	2010-06-28T19:01:34Z
dc.date.available	2010-06-28T19:01:34Z
dc.date.issued	2006	en_US
dc.identifier.uri	http://hdl.handle.net/10161/2614
dc.description.abstract	This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility based on the model fundamentals and we find the identification scheme that recovers the economic shocks from the VAR innovations when the model is invertible. We illustrate our results with a model of the Great Depression proposed by Christiano, Motto, and Rostagno (2003).	en_US
dc.format.extent	151080 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of the European Economic Association Paper and Proceedings	en_US
dc.subject	Model of the Great Depression	en_US
dc.subject	Var shocks	en_US
dc.title	Economic and VAR Shocks: What Can Go Wrong?	en_US
dc.type	Journal Article	en_US
dc.department	Economics