Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244243 
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 2020-29
Publisher: 
Federal Reserve Bank of Chicago, Chicago, IL
Abstract: 
We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 < q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not necessarily combine disturbances of the same type. Theory-based restrictions may be insufficient to obtain structural dynamics. We revisit the evidence regarding the transmission of house price and of uncertainty shocks. We provide suggestions on how to validate the dynamics of larger scale DSGEs with smaller scale VARs.
Subjects: 
Deformation
state variables
dynamic responses
structural models
house priceshocks
uncertainty shocks
JEL: 
C32
E27
E32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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