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Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1068
Verlag: 
Kiel Institute of World Economics (IfW), Kiel
Zusammenfassung: 
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with the result that the identified shocks are a mixture of the ?true? shocks. To investigate this issue, we evaluate for German data the consistency of results from different bivariate SVAR models employing the same long-run identifying restrictions. We find that these models do not offer reliable evidence on the sources of output fluctuations.
Schlagwörter: 
Business Cycle Fluctuations
Structural Vector Autoregression Models
Long-run Restrictions
JEL: 
E32
C32
Dokumentart: 
Working Paper

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