Technology Shocks and Robust Sign Restrictions in a Euro Area SVAR

By G. Peersman, Roland Straub. Social Science Research Network, 2009

239 citations recorded by the source corpus.

We use a model-based identification strategy to estimate the impact of technology shocks on hours worked and employment in the euro area. The sign restrictions applied in the vector autoregression (VAR) analysis are consistent with a large class of dynamic stochastic general equilibrium (DSGE) models and are robust to parameter uncertainty. The results are in line with the conventional Real Business Cycle (RBC) interpretation that hours worked rise as a result of a positive technology shock. By comparing the sign restrictions method to the long-run restriction approach of Gali ("Quaterly Journal of Economics" (1992) 709-38) , we show that the results do not depend on the stochastic specification of the hours worked series or the data sample but only on the identification scheme. Copyright © (2009) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/3a4093fe7b2586ce53e87eade556ba5d143ee68a

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Citations in the corpus

The Bank of England Quarterly Model (2005, result): “The results shown here accord qualitatively with the effects of a labour supply shock identified in Peersman and Straub (2004) for the euro area: hours and output fall, prices and real wages rise, and interest rates rise temporarily.”
What are the Macroeconomic Effects of Asset Purchases (2016, background): “Empirically, Dedola and Neri (2007) and Peersman and Straub (2009) examine the reaction of the short-term interest rate in response to technology shocks in SVARs for the US and Euro Area, respectively.”
Asset Prices, Exchange Rates and the Current Account (2007, methodology): “Note that Peersman and Straub (2009) do not impose a sign restriction on consumption but they document that empirically a positive scal policy shock reduces consumption expenditure, which is one of our sign restrictions to identify the scal policy shock.”
Do Technology Shocks Lead to a Fall in Total Hours Worked (2004, methodology): “The alternative is that the explanation requires a intricate interplay or a variety of stochastic disturbances, as in Christiano, Eichenbaum, and Evans (2001) or Smets and Wouters (2003). Some of the key business cycle facts are listed in Table 1.”
Sign Restrictions in Structural Vector Autoregressions: A Critical Review (2011, unknown): “This arises because, while the sign restrictions solve the structural identification problem by providing sufficient information to identify the structural parameters, they leave unresolved what Preston (1978) called the model identification problem - the latter referring to the fact that there are ”
DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS (2012, methodology): “In SVAR analysis identification via heteroskedasticity has been proposed and used by Rigobon (2003), Rigobon and Sack (2003), Lanne and Lütkepohl (2008) among others.”
How Do Fiscal and Technology Shocks Affect Real Exchange Rates? New Evidence for the United States (2008, methodology): “They are used, for instance, to identify government spending and technology shocks in a closed economy context by Mountford and Uhlig (2009) and Peersman and Straub (2009).”
What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions (2005, background): “Indeed, Farrant and Peersman (2003) and Peersman and Straub (2003) do show that there is also a remarkable difference between both approaches when respectively exchange rate shocks and technology shocks are identified.”