Macro/Trade Seminar: Fabio Canova (Norwegian Business School) – School of Economics Macro/Trade Seminar: Fabio Canova (Norwegian Business School) – School of Economics

Macro/Trade Seminar: Fabio Canova (Norwegian Business School)

The School of Economics invites you to a Macro/Trade seminar by Fabio Canova (Norwegian Business School).

Mind the Gap! Stylised Dynamic Facts and Structural Models

 

Co-authors: 

Filippo Ferroni (Chicago FED)

Abstract

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but less than q variables are used in the empirical model. Identified shocks are mongrels: they are linear combinations of current and past values of all structural disturbances and do not necessarily combine disturbances of the same type. Sound restrictions may be insufficient to obtain structural dynamics. The theory used to interpret the data and the disturbances it features determine whether an empirical model is too small. An example shows the magnitude of the distortions and the steps needed to reduce them. We revisit the evidence regarding the transmission of house price and of uncertainty shocks.

Download the full paper: mindthegap_02_2019

Date

Sep 30 2019
Expired!

Time

3:00 pm - 4:00 pm

Location

Room 441
Social Sciences Building (A02)
Category

Organizer

Dave Mc Manamon
Phone
93514587
Email
dave.mcmanamon@sydney.edu.au

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