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Working Papers, Levy Economics Institute of Bard College >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/31520
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hannsgen, Greg | | en_US |
| dc.date.accessioned | | 2010-05-14T11:08:29Z | | - |
| dc.date.available | | 2010-05-14T11:08:29Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/31520 | | - |
| dc.description.abstract | | Since Christopher Sims's Macroeconomics and Reality (1980), macroeconomists have used structural VARs, or vector autoregressions, for policy analysis. Constructing the impulseresponse functions and variance decompositions that are central to this literature requires factoring the variance-covariance matrix of innovations from the VAR. This paper presents evidence consistent with the hypothesis that at least some elements of this matrix are infinite for one monetary VAR, as the innovations have stable, non-Gaussian distributions, with characteristic exponents ranging from 1.5504 to 1.7734 according to ML estimates. Hence, Cholesky and other factorizations that would normally be used to identify structural residuals from the VAR are impossible. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | The Levy Economics Inst. of Bard College Annandale-on-Hudson, NY | | en_US |
| dc.relation.ispartofseries | | Working papers // The Levy Economics Institute 546 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | E52 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Vector autoregressions | | en_US |
| dc.subject.keyword | | stable distributions | | en_US |
| dc.subject.keyword | | stable-paretian distributions | | en_US |
| dc.subject.keyword | | Infinite variance | | en_US |
| dc.subject.keyword | | monetary policy | | en_US |
| dc.title | | Do the innovations in a monetary VAR have finite variances? | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 58508789X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Working Papers, Levy Economics Institute of Bard College
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