Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192544 
Year of Publication: 
2008
Series/Report no.: 
Discussion Papers No. 562
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
This paper addresses how to enhance the role of data in structural model design by utilizing structural breaks and superfluous information as auxiliary tools of exact identification. To illustrate the procedure and to study the simultaneous interplay between financial variables and the real side of the economy a simultaneous equation model is constructed on Norwegian aggregate data. In this model, while innovations to stock prices and credit do cause short run movements in real activity, such innovations do not precede real economy movements in the long run.
Subjects: 
Structural vector Error Correction modeling
Identification
Cointegration
Financial variables and the real economy.
JEL: 
C30
C32
C50
C51
C53
C53
E44
Document Type: 
Working Paper

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