Identification of Technology Shocks in Structural Vars
提出两步SVAR方法估计永久技术冲击对总量变量的影响，模拟显示优于标准SVAR，应用于实际数据发现技术改进后工时先短期下降再呈驼峰状上升，通胀和名义利率显著下降。
The usefulness of SVARs for developing empirically plausible models is actually subject to controversies in macroeconomics. We propose a two-step SVARs-based procedure which consistently estimates the effect of permanent technology shocks on aggregate variables. Simulation experiments from a standard business cycle model and a sticky prices model show that our approach outperforms standard SVARs. The two-step procedure, when applied to actual data, predicts a significant short-run decrease of hours after a technology improvement followed by a hump-shaped positive response. Additionally, the rate of inflation and the nominal interest rate displays a significant decrease after this shock. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009.