Arbeitspapier
Do Survey Data Help Identify Supply and Demand Shocks in Sign-restricted SVARs?
Sign-restricted SVARs are typically characterized by high identification uncertainty. However, using external proxies can be helpful in this context. In this paper, I use business survey data to inform an SVAR of aggregate supply, demand and monetary policy shocks for the euro area. In the surveys, companies report input factors that limit their business activities. I show that sign-identified model sets are very heterogenous and produce shocks that are only weakly related to survey-based input shortage indicators. In contrast, combining sign restrictions with information from these shortage indicators narrows the set of admissible impulse response functions and affects policy-related conclusions drawn from the model.
- Language
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Englisch
- Classification
-
Wirtschaft
- Subject
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Proxy VARs
SVAR
sign restrictions
- Event
-
Geistige Schöpfung
- (who)
-
Salzmann, Leonard
- Event
-
Veröffentlichung
- (who)
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ZBW - Leibniz Information Centre for Economics
- (where)
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Kiel, Hamburg
- (when)
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2024
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Salzmann, Leonard
- ZBW - Leibniz Information Centre for Economics
Time of origin
- 2024
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