Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17890
Authors: 
van Zandweghe, Willem
Gottschalk, Jan
Year of Publication: 
2001
Series/Report no.: 
Kiel Working Paper 1068
Abstract: 
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.
Subjects: 
Business Cycle Fluctuations
Structural Vector Autoregression Models
Long-run Restrictions
JEL: 
E32
C32
Document Type: 
Working Paper

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