Are structural VARs with long-run restrictions useful in developing business cycle theory?

Journal of Monetary Economics - Tập 55 - Trang 1337-1352 - 2008
V.V. Chari1,2, Patrick J. Kehoe1,3, Ellen R. McGrattan1,3
1Department of Economics, University of Minnesota, USA
2Federal Reserve Bank of Minneapolis, USA
3Federal Reserve Bank of Minneapolis USA

Tài liệu tham khảo

Bencivenga, 1992, An econometric study of hours and output variation with preference shocks, International Economic Review, 33, 449, 10.2307/2526904 Benhabib, 1991, Homework in macroeconomics: household production and aggregate fluctuations, Journal of Political Economy, 99, 1166, 10.1086/261796 Bernanke, 1999, The financial accelerator in a quantitative business cycle framework, vol. 1C, 1341 Blanchard, 1989, The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79, 655 Braun, 1994, Tax disturbances and real economic activity in the postwar United States, Journal of Monetary Economics, 33, 441, 10.1016/0304-3932(94)90039-6 Chari, V.V., Kehoe, P.J., McGrattan, E.R., forthcoming. New Keynesian models: not yet useful for monetary policy analysis. American Economic Journal: Macroeconomics. Chari, V.V., Kehoe, P.J., McGrattan, E.R., 2007a. Are structural VARs with long-run restrictions useful in developing business cycle theory? Staff Report 364, Federal Reserve Bank of Minneapolis. Chari, 2007, Business cycle accounting, Econometrica, 75, 781, 10.1111/j.1468-0262.2007.00768.x Christiano, L.J., Eichenbaum, M., Vigfusson, R., 2003. What happens after a technology shock? NBER Working Paper 9819. Christiano, 2005, Nominal rigidities and the dynamic effects of a shock to monetary policy, Journal of Political Economy, 113, 1, 10.1086/426038 Christiano, 2007, Assessing structural VARs, 1 Cogley, 1995, Output dynamics in real-business-cycle models, American Economic Review, 85, 492 Cooley, 1998, Business cycle analysis without much theory: a look at structural VARs, Journal of Econometrics, 83, 57, 10.1016/S0304-4076(97)00065-1 Cooley, 1989, The inflation tax in a real business cycle model, American Economic Review, 79, 733 Eichenbaum, 1991, Real business-cycle theory: wisdom or whimsy?, Journal of Economic Dynamics and Control, 15, 607, 10.1016/0165-1889(91)90035-Y Erceg, C.J., Guerrieri, L., Gust, C., 2004. Can long-run restrictions identify technology shocks? International Finance Discussion Paper 792, Board of Governors of the Federal Reserve System. Faust, 1997, When do long-run identifying restrictions give reliable results?, Journal of Business and Economic Statistics, 15, 345, 10.2307/1392338 Fernández-Villaverde, J., Rubio-Ramírez, J.F., Sargent, T.J., 2005. A, B, C's, (and D's) for understanding VARs. NBER Technical Working Paper T0308. Fernández-Villaverde, 2007, A, B, C's, (and D's) for understanding VARs, American Economic Review, 97, 1021, 10.1257/aer.97.3.1021 Fisher, 2006, The dynamic effects of neutral and investment-specific technology shocks, Journal of Political Economy, 114, 413, 10.1086/505048 Francis, 2005, Is the technology-driven real business cycle hypothesis dead? Shocks and aggregate fluctuations revisited, Journal of Monetary Economics, 52, 1379, 10.1016/j.jmoneco.2004.08.009 Galí, 1999, Technology, employment, and the business cycle: do technology shocks explain aggregate fluctuations?, American Economic Review, 89, 249, 10.1257/aer.89.1.249 Galí, 2005, Technology shocks and aggregate fluctuations: how well does the RBC model fit postwar U.S. data?, vol. 19, 225 Goodfriend, 1997, The new neoclassical synthesis and the role of monetary policy, vol. 12, 231 Greenwood, 2000, The role of investment-specific technological change in the business cycle, European Economic Review, 44, 91, 10.1016/S0014-2921(98)00058-0 Hall, 1997, Macroeconomic fluctuations and the allocation of time, Journal of Labor Economics, 15, S223, 10.1086/209862 Hansen, 1991, Two difficulties in interpreting vector autoregressions, 77 Hurwicz, 1950, Least squares bias in time series, 365 King, 1988, Production, growth and business cycles: I. The basic neoclassical model, Journal of Monetary Economics, 21, 195, 10.1016/0304-3932(88)90030-X Kydland, 1982, Time to build and aggregate fluctuations, Econometrica, 50, 1345, 10.2307/1913386 Kydland, 1991, Hours and employment variation in business cycle theory, Economic Theory, 1, 61, 10.1007/BF01210574 Marcet, A., 2005. Overdifferencing VARs is OK. Manuscript, Universitat Pompeu Fabra. McGrattan, 1994, The macroeconomic effects of distortionary taxation, Journal of Monetary Economics, 33, 573, 10.1016/0304-3932(94)90044-2 Prescott, 1986, Theory ahead of business cycle measurement, Federal Reserve Bank of Minneapolis Quarterly Review, 10, 9 Rotemberg, 1992, Oligopolistic pricing and the effects of aggregate demand on economic activity, Journal of Political Economy, 100, 1153, 10.1086/261857 Sims, 1971, Distributed lag estimation when the parameter space is explicitly infinite-dimensional, Annals of Mathematical Statistics, 42, 1622, 10.1214/aoms/1177693161 Sims, 1972, The role of approximate prior restrictions in distributed lag estimation, Journal of the American Statistical Association, 67, 169, 10.2307/2284717 Sims, 1989, Models and their uses, American Journal of Agricultural Economics, 71, 489, 10.2307/1241619 Stockman, 1995, Tastes and technology in a two-country model of the business cycle: explaining international comovements, American Economic Review, 85, 168