Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312136 
Year of Publication: 
2024
Series/Report no.: 
DIW Discussion Papers No. 2103
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when longrun restrictions are available for identifying structural shocks. The importance of performing such tests is illustrated by investigating the impact of fundamental shocks on stock prices in the U.S.. It is found that fundamental shocks post-1986 have become more important than in the pre-1986 period.
Subjects: 
Structural vector autoregression
heteroskedasticity
cointegration
structural vector error correction model
JEL: 
C32
Document Type: 
Working Paper

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