Mind the gap!: Stylized dynamic facts and structural models

Arbeitspapier

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 < q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not necessarily combine disturbances of the same type. Theory-based restrictions may be insufficient to obtain structural dynamics. We revisit the evidence regarding the transmission of house price and of uncertainty shocks. We provide suggestions on how to validate the dynamics of larger scale DSGEs with smaller scale VARs.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2020-29

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications ; Business Fluctuations; Cycles
• Thema: Deformation ; state variables ; dynamic responses ; structural models ; house priceshocks ; uncertainty shocks

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Canova, Fabio ; Ferroni, Filippo
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of Chicago
• (wo): Chicago, IL
• (wann): 2020

Weitere Informationen

• DOI: doi:10.21033/wp-2020-29
• Handle: http://hdl.handle.net/10419/244243
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ