Joint research unit 7235

Dynamic Identification in VARs

Speaker :Alain GUAY (UQAM, Montréal)

Coauteurs : Paul Beaudry (Banque du Canada), Fabrice Collard (TSE), Patrick Fève (TSE), Franck Portier (University College London)

Résumé: Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In this paper we begin by showing that this dual dynamic structure is sufficient to identify the entire set of structural impulse responses inherent to any such model. No extra restrictions are necessary. We then use this observation to suggest how it can be used to evaluate common SVAR restrictions (impact restrictions, long-run restrictions and proxy-VAR), as well as help transpire the role of cross-equation restrictions inherent to more structural models.

AGENDA

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Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

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Webinar TELE – Theoretical European Law & Economics

Ester Manna (University of Barcelona, Spain)

3:00 pm to 4:15 pm (Paris time)

TBA

Tuesday 5 March 2024

TBA

Ester Manna (University of Barcelona, Spain)

3:00 pm to 4:15 pm (Paris time)

TBA

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Les déterminants de la performance bancaire en Algérie

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